Title page
Contents
Abstract 2
1. Introduction 3
2. Data and Descriptive Statistics 6
2.1. Macroeconomic Data 7
2.2. Export and Import Price Indices 7
2.3. Time Variation in Trade Shares 8
2.4. Alternative Measures of Terms of Trade 10
2.5. A First Glance at the Data 12
2.6. Impact of Terms of Trade on the Economy 14
3. Econometric Method 16
3.1. Identfication 17
4. Baseline results 20
4.1. Cross-Country Heterogeneity 24
5. Extensions 26
6. Conclusion 26
References 28
Appendix A. Data 31
Appendix B. Narrative Approach 40
Appendix C. Empirical Evidence on Global Economic Activity Shocks 50
Appendix D. Cross-Country and Group Heterogeneity 51
References 60
Table 1. Commodity Imports and Exports (1980-2016) 9
Table 2. Descriptive Statistics 11
Table 3. Commodity Terms of Trade: Descriptive Statistics 12
Table 4. Determinants of the Volatility of Export and Import Prices 14
Table 5. Testing Terms of Trade Restrictions 15
Table 6. Sign restrictions 18
Table 7. Summary Narrative Restrictions 19
Table 8. Forecast Error Variance Decomposition 22
Table 9. Determinants of the Impulse Responses to Px and Pm Shocks 25
Figure 1. Comparison Forecast Error Variance Decomposition 4
Figure 2. Import and Export Shares 10
Figure 3. Terms of Trade Measures: A Comparison 12
Figure 4. Forecast Error Variance Decomposition: ToT and ToTº Shocks 15
Figure 5. Example of Narrative Restrictions 20
Figure 6. Impulse Responses to an Export and Import Price Shock: All Countries 21
Figure 7. Comparison Forecast Error Variance Decomposition (Px, Pm and Yg vs. World Shocks) 23
Figure 8. Heterogeneous Eects of Px and Pm shocks on Output 24
Table A.1. Macro Data Coverage 33
Table A.2. List of commodities 34
Table A.3. List of Manufacturing Industries 35
Table A.4. Commodity Terms of Trade: Descriptive Statistics 36
Table A.5. Commodity Info: 1980-1989 37
Table A.6. Commodity Info: 1990-1999 38
Table A.7. Commodity Info: 2000-2016 39
Table C.1. Forecast Error Variance Decomposition: Global Economic Activity Shock 50
Table D.1. Determinants of the Impulse Responses to a Global Economic Activity Shock 52
Table D.2. FEVD International Prices: Commodity Groups 58
Table D.3. FEVD Business Cycle: Commodity Groups 59
Figure C.1. Impulse Responses to a Global Economic Activity Shock: All Countries 50
Figure D.1. Heterogeneous Effects of Yg Shocks on Export Prices, Import Prices and Output 51
Figure D.2. Impulse Responses to an Export Price Shock by Export Group 53
Figure D.3. Impulse Responses to an Import Price Shock by Export Group 54
Figure D.4. Impulse Responses to a Global Economic Activity Shock by Export Group 55
Figure D.5. Impulse Responses to an Export Price Shock by Import Group 56
Figure D.6. Impulse Responses to an Import Price Shock by Import Group 56
Figure D.7. Impulse Responses to a Global Economic Activity Shock by Import Group 57