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TFP growth and commodity prices in emerging economies

Listed author(s):
  • Iván Kataryniuk

    ()

    (Banco de España)

  • Jaime Martínez-Martín

    ()

    (Banco de España)

In this paper we aim at empirically testing cross-country impacts of commodity price shocks to aggregate TFP growth for a sample of emerging economies. Under a growth accounting framework, we estimate country-specific TFP growth (1992-2014) and select the attendant robust determinants by means of a Bayesian Model Averaging (BMA) approach. To identify the effects of structural shocks, we propose a Bayesian panel VAR model and calculate cyclically adjusted TFP growth net of demand shocks (i.e. output gap) and commodity prices. Our results suggest that: i) the relationship of commodity prices to TFP growth has been very high in small commodity-exporting economies (i.e. an increase of 10% in commodity prices is associated with a sizable expansion of TFP growth in a year for an average commodity exporter); ii) although our evidence is not suf?cient to empirically distinguish among theoretical explanations, our results favour an interpretation that weights short-term effects of commodity prices on productivity, either through transitional dynamics to the manufacturing sector or through mismeasurement of TFP; and iii) cyclically adjusted TFP growth highlights the importance of negative supply shocks in commodity-exporting countries. All in all, much of the increase in TFP growth in the last decade was related to a favourable cyclical environment, a result with potentially significant policy implications for commodity-dependent economies.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1711e.pdf
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Paper provided by Banco de España & Working Papers Homepage in its series Working Papers with number 1711.

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Length: 37 pages
Date of creation: Mar 2017
Handle: RePEc:bde:wpaper:1711
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  1. Durlauf, Steven N. & Johnson, Paul A. & Temple, Jonathan R.W., 2005. "Growth Econometrics," Handbook of Economic Growth,in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 8, pages 555-677 Elsevier.
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  7. Robert M. Solow, 1956. "A Contribution to the Theory of Economic Growth," The Quarterly Journal of Economics, Oxford University Press, vol. 70(1), pages 65-94.
  8. Jonathan Temple, 2005. "Dual Economy Models: A Primer For Growth Economists," Manchester School, University of Manchester, vol. 73(4), pages 435-478, 07.
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  10. Sebastian Sosa & Evridiki Tsounta & Marie S Kim, 2013. "Is the Growth Momentum in Latin America Sustainable?," IMF Working Papers 13/109, International Monetary Fund.
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  12. Field, Alexander J., 2010. "The Procyclical Behavior of Total Factor Productivity in the United States, 1890–2004," The Journal of Economic History, Cambridge University Press, vol. 70(02), pages 326-350, June.
  13. Michael Danquah & Enrique Moral-Benito & Bazoumana Ouattara, 2014. "TFP growth and its determinants: a model averaging approach," Empirical Economics, Springer, vol. 47(1), pages 227-251, August.
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