The role of external shocks in driving macroeconomic fluctuations of emerging economies

External shocks have a notable influence on the macroeconomic fluctuations of emerging economies. However, there is limited theoretical and empirical evidence on how dependence on a single commodity export affects the transmission of external shocks in these economies. This study uses data from 1998 to 2019 to estimate a Bayesian Vector Autoregressive (BVAR) model for the economies of Ethiopia, Morocco, Nigeria, and South Africa, focusing on the price of their leading export commodities. The study examines the relationship between fluctuations in export commodity prices and economic activity over time. Most of the findings are consistent with the theoretical framework and empirical evidence on emerging economies, which typically react to external shocks, although the responses vary across economies. The study shows that a shock to export commodity prices induces a more pronounced output response in low-income economies with lower shock-absorbing capacity. Export commodity prices are identified as a crucial transmission channel of external shocks to emerging market economies, highlighting the importance of paying distinct attention to this sector in macroeconomic modeling. The results are robust to different prior specifications and choices of lag lengths for exogenous variables.