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Global commodity markets and sovereign risk across 150 years

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Authors and Corporations: Domínguez-Cardoza, Angélica (Author), Garamow, Adelina (Author), Meyer, Josefin (Author)
Other Authors: Garamow, Adelina [Author] • Meyer, Josefin [Author]
Type of Resource: E-Book
Language: English
published:
Berlin DIW Berlin, German Institute for Economic Research 2022
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 2020
Subjects:
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: How do commodity price movements affect sovereign default risk over the long-run? Using a novel dataset covering 41 countries and 42 raw commodities, we take a comprehensive long-run view to shed light on this so far understudied relationship between commodity risk and sovereign risk across 150 years. We create a novel country-specific commodity price index that allows us to take advantage of countries’ variation in their commodity export compositions. Our results are twofold: first, commodity price fluctuations show a persistent association with sovereign borrowing costs for countries that are commodity export dependent across the last one and a half centuries. Second, historically this relationship was driven by agricultural price movements; today it is driven by mineral and energy price movements.
Physical Description: 1 Online-Ressource (circa 48 Seiten); Illustrationen