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TFP growth and commodity prices in emerging economies

Author

Listed:
  • Iván Kataryniuk

    () (Banco de España)

  • Jaime Martínez-Martín

    () (Banco de España)

Abstract

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.

Suggested Citation

  • Iván Kataryniuk & Jaime Martínez-Martín, 2017. "TFP growth and commodity prices in emerging economies," Working Papers 1711, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:1711
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    References listed on IDEAS

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    More about this item

    Keywords

    total factor productivity; commodity prices; Bayesian model averaging; panel VAR.;

    JEL classification:

    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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