The Effects on Growth of Commodity Price Uncertainty and Shocks

The author estimates the effects on growth of commodity price shocks, and uncertainty within an established empirical growth model. Ex-post shocks, and ex-ante uncertainty have been treated in the empirical literature as if they were synonymous. Bu...

Full description

Bibliographic Details
Main Author:	Dehn, Jan
Format:	Policy Research Working Paper
Language:	English en_US
Published:	World Bank, Washington, DC 2014
Subjects:	ANNUAL GROWTH ANNUAL OBSERVATIONS BARTER BUSINESS CYCLES COMMODITY PRICES CONSUMERS COUNTRY SPECIFIC DATA SET DATA SETS DEBT DEPENDENT VARIABLE DEVELOPING COUNTRIES DEVELOPMENT RESEARCH DIVERSIFICATION DOMESTIC SAVINGS ECONOMIC GROWTH ECONOMIC POLICIES ECONOMIC POLICY EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL GROWTH LITERATURE EMPIRICAL GROWTH MODEL EMPIRICAL LITERATURE EMPIRICAL MODEL EMPIRICAL STUDIES EXCHANGE RATE EXPENDITURES EXPLANATORY VARIABLES EXPORTS EXTERNAL CONDITIONS GDP GROWTH EFFECT GROWTH EQUATION GROWTH EQUATIONS GROWTH LITERATURE GROWTH MODEL GROWTH MODELS GROWTH RATES GROWTH REGRESSION HETEROSKEDASTICITY IMPERFECT COMPETITION INCOME INDIVIDUAL COUNTRIES INFLATION INVESTMENT RATE INVESTMENT VARIABLES LIQUIDITY LIQUIDITY CONSTRAINTS LONG RUN LONG-RUN IMPACT MARGINAL REVENUE MEDIUM TERM NATIONAL INCOME NEGATIVE COEFFICIENT NEGATIVE CORRELATION NEGATIVE EFFECT NEGATIVE GROWTH NEGATIVE IMPACT NEGATIVE LINK NEGATIVE RELATIONSHIP NEGATIVE SHOCK NEGATIVE SHOCKS OIL OIL PRICES OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PERMANENT INCOME POLICY CHANGES POLICY DECISIONS POLICY MAKERS POLICY RESEARCH POLICY VARIABLES POLITICAL INSTABILITY POPULATION GROWTH POSITIVE COEFFICIENT POSITIVE CORRELATION POSITIVE EFFECTS POSITIVE SHOCKS PRESENT VALUE PRICE CHANGES PRICE INDEX PRICE INDICES PRICE VOLATILITY PRIVATE AGENTS PRODUCERS PUBLIC INVESTMENT REAL EXCHANGE RATE REGRESSION ANALYSIS RETURNS TO SCALE RISK AVERSE SAVINGS SIGNIFICANT NEGATIVE SOCIAL CONFLICTS STANDARD DEVIATION STOCKS SUBSTITUTION TAXATION TERMS OF TRADE TIME SERIES TRADE SHOCKS
Online Access:	http://documents.worldbank.org/curated/en/2000/09/693025/effects-growth-commodity-price-uncertainty-shocks http://hdl.handle.net/10986/19788

id	okr-10986-19788
recordtype	oai_dc
spelling	okr-10986-197882021-04-23T14:03:44Z The Effects on Growth of Commodity Price Uncertainty and Shocks Dehn, Jan ANNUAL GROWTH ANNUAL OBSERVATIONS BARTER BUSINESS CYCLES COMMODITY PRICES CONSUMERS COUNTRY SPECIFIC DATA SET DATA SETS DEBT DEPENDENT VARIABLE DEVELOPING COUNTRIES DEVELOPMENT RESEARCH DIVERSIFICATION DOMESTIC SAVINGS ECONOMIC GROWTH ECONOMIC POLICIES ECONOMIC POLICY EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL GROWTH LITERATURE EMPIRICAL GROWTH MODEL EMPIRICAL LITERATURE EMPIRICAL MODEL EMPIRICAL STUDIES EXCHANGE RATE EXPENDITURES EXPLANATORY VARIABLES EXPORTS EXTERNAL CONDITIONS GDP GROWTH EFFECT GROWTH EQUATION GROWTH EQUATIONS GROWTH LITERATURE GROWTH MODEL GROWTH MODELS GROWTH RATES GROWTH REGRESSION HETEROSKEDASTICITY IMPERFECT COMPETITION INCOME INDIVIDUAL COUNTRIES INFLATION INVESTMENT RATE INVESTMENT VARIABLES LIQUIDITY LIQUIDITY CONSTRAINTS LONG RUN LONG-RUN IMPACT MARGINAL REVENUE MEDIUM TERM NATIONAL INCOME NEGATIVE COEFFICIENT NEGATIVE CORRELATION NEGATIVE EFFECT NEGATIVE GROWTH NEGATIVE IMPACT NEGATIVE LINK NEGATIVE RELATIONSHIP NEGATIVE SHOCK NEGATIVE SHOCKS OIL OIL PRICES OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PERMANENT INCOME POLICY CHANGES POLICY DECISIONS POLICY MAKERS POLICY RESEARCH POLICY VARIABLES POLITICAL INSTABILITY POPULATION GROWTH POSITIVE COEFFICIENT POSITIVE CORRELATION POSITIVE EFFECTS POSITIVE SHOCKS PRESENT VALUE PRICE CHANGES PRICE INDEX PRICE INDICES PRICE VOLATILITY PRIVATE AGENTS PRODUCERS PUBLIC INVESTMENT REAL EXCHANGE RATE REGRESSION ANALYSIS RETURNS TO SCALE RISK AVERSE SAVINGS SIGNIFICANT NEGATIVE SOCIAL CONFLICTS STANDARD DEVIATION STOCKS SUBSTITUTION TAXATION TERMS OF TRADE TIME SERIES TRADE SHOCKS The author estimates the effects on growth of commodity price shocks, and uncertainty within an established empirical growth model. Ex-post shocks, and ex-ante uncertainty have been treated in the empirical literature as if they were synonymous. But they are distinct concepts, and it is both theoretically, and empirically inappropriate to treat them as synonymous. He shows that the interaction between policy, and aid is robust to the inclusion of variables capturing commodity price movements. More important, his approach departs in three ways from earlier empirical studies of the subject: 1) It deals with issues of endogeneity, without incurring an excessive loss of efficiency. 2) It defines the dependent variable to allow an assessment of the longer-term implications of temporary trade shocks. 3) It imposes no priors on how commodity price movements affect growth, but compares and contrasts a range of competing shock, and uncertainty specifications. The author resolves the disagreement about the long-run effect of positive shocks on growth, finding that positive shocks have no long-run impact on growth (that windfalls from trade shocks do not translate into sustainable increases in income). He shows that negative shocks have large, highly significant, and negative effects on growth, but that commodity price uncertainty does not affect growth. 2014-08-27T20:46:23Z 2014-08-27T20:46:23Z 2000-09 http://documents.worldbank.org/curated/en/2000/09/693025/effects-growth-commodity-price-uncertainty-shocks http://hdl.handle.net/10986/19788 English en_US Policy Research Working Paper;No. 2455 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English en_US
topic	ANNUAL GROWTH ANNUAL OBSERVATIONS BARTER BUSINESS CYCLES COMMODITY PRICES CONSUMERS COUNTRY SPECIFIC DATA SET DATA SETS DEBT DEPENDENT VARIABLE DEVELOPING COUNTRIES DEVELOPMENT RESEARCH DIVERSIFICATION DOMESTIC SAVINGS ECONOMIC GROWTH ECONOMIC POLICIES ECONOMIC POLICY EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL GROWTH LITERATURE EMPIRICAL GROWTH MODEL EMPIRICAL LITERATURE EMPIRICAL MODEL EMPIRICAL STUDIES EXCHANGE RATE EXPENDITURES EXPLANATORY VARIABLES EXPORTS EXTERNAL CONDITIONS GDP GROWTH EFFECT GROWTH EQUATION GROWTH EQUATIONS GROWTH LITERATURE GROWTH MODEL GROWTH MODELS GROWTH RATES GROWTH REGRESSION HETEROSKEDASTICITY IMPERFECT COMPETITION INCOME INDIVIDUAL COUNTRIES INFLATION INVESTMENT RATE INVESTMENT VARIABLES LIQUIDITY LIQUIDITY CONSTRAINTS LONG RUN LONG-RUN IMPACT MARGINAL REVENUE MEDIUM TERM NATIONAL INCOME NEGATIVE COEFFICIENT NEGATIVE CORRELATION NEGATIVE EFFECT NEGATIVE GROWTH NEGATIVE IMPACT NEGATIVE LINK NEGATIVE RELATIONSHIP NEGATIVE SHOCK NEGATIVE SHOCKS OIL OIL PRICES OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PERMANENT INCOME POLICY CHANGES POLICY DECISIONS POLICY MAKERS POLICY RESEARCH POLICY VARIABLES POLITICAL INSTABILITY POPULATION GROWTH POSITIVE COEFFICIENT POSITIVE CORRELATION POSITIVE EFFECTS POSITIVE SHOCKS PRESENT VALUE PRICE CHANGES PRICE INDEX PRICE INDICES PRICE VOLATILITY PRIVATE AGENTS PRODUCERS PUBLIC INVESTMENT REAL EXCHANGE RATE REGRESSION ANALYSIS RETURNS TO SCALE RISK AVERSE SAVINGS SIGNIFICANT NEGATIVE SOCIAL CONFLICTS STANDARD DEVIATION STOCKS SUBSTITUTION TAXATION TERMS OF TRADE TIME SERIES TRADE SHOCKS
spellingShingle	ANNUAL GROWTH ANNUAL OBSERVATIONS BARTER BUSINESS CYCLES COMMODITY PRICES CONSUMERS COUNTRY SPECIFIC DATA SET DATA SETS DEBT DEPENDENT VARIABLE DEVELOPING COUNTRIES DEVELOPMENT RESEARCH DIVERSIFICATION DOMESTIC SAVINGS ECONOMIC GROWTH ECONOMIC POLICIES ECONOMIC POLICY EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL GROWTH LITERATURE EMPIRICAL GROWTH MODEL EMPIRICAL LITERATURE EMPIRICAL MODEL EMPIRICAL STUDIES EXCHANGE RATE EXPENDITURES EXPLANATORY VARIABLES EXPORTS EXTERNAL CONDITIONS GDP GROWTH EFFECT GROWTH EQUATION GROWTH EQUATIONS GROWTH LITERATURE GROWTH MODEL GROWTH MODELS GROWTH RATES GROWTH REGRESSION HETEROSKEDASTICITY IMPERFECT COMPETITION INCOME INDIVIDUAL COUNTRIES INFLATION INVESTMENT RATE INVESTMENT VARIABLES LIQUIDITY LIQUIDITY CONSTRAINTS LONG RUN LONG-RUN IMPACT MARGINAL REVENUE MEDIUM TERM NATIONAL INCOME NEGATIVE COEFFICIENT NEGATIVE CORRELATION NEGATIVE EFFECT NEGATIVE GROWTH NEGATIVE IMPACT NEGATIVE LINK NEGATIVE RELATIONSHIP NEGATIVE SHOCK NEGATIVE SHOCKS OIL OIL PRICES OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PERMANENT INCOME POLICY CHANGES POLICY DECISIONS POLICY MAKERS POLICY RESEARCH POLICY VARIABLES POLITICAL INSTABILITY POPULATION GROWTH POSITIVE COEFFICIENT POSITIVE CORRELATION POSITIVE EFFECTS POSITIVE SHOCKS PRESENT VALUE PRICE CHANGES PRICE INDEX PRICE INDICES PRICE VOLATILITY PRIVATE AGENTS PRODUCERS PUBLIC INVESTMENT REAL EXCHANGE RATE REGRESSION ANALYSIS RETURNS TO SCALE RISK AVERSE SAVINGS SIGNIFICANT NEGATIVE SOCIAL CONFLICTS STANDARD DEVIATION STOCKS SUBSTITUTION TAXATION TERMS OF TRADE TIME SERIES TRADE SHOCKS Dehn, Jan The Effects on Growth of Commodity Price Uncertainty and Shocks
relation	Policy Research Working Paper;No. 2455
description	The author estimates the effects on growth of commodity price shocks, and uncertainty within an established empirical growth model. Ex-post shocks, and ex-ante uncertainty have been treated in the empirical literature as if they were synonymous. But they are distinct concepts, and it is both theoretically, and empirically inappropriate to treat them as synonymous. He shows that the interaction between policy, and aid is robust to the inclusion of variables capturing commodity price movements. More important, his approach departs in three ways from earlier empirical studies of the subject: 1) It deals with issues of endogeneity, without incurring an excessive loss of efficiency. 2) It defines the dependent variable to allow an assessment of the longer-term implications of temporary trade shocks. 3) It imposes no priors on how commodity price movements affect growth, but compares and contrasts a range of competing shock, and uncertainty specifications. The author resolves the disagreement about the long-run effect of positive shocks on growth, finding that positive shocks have no long-run impact on growth (that windfalls from trade shocks do not translate into sustainable increases in income). He shows that negative shocks have large, highly significant, and negative effects on growth, but that commodity price uncertainty does not affect growth.
format	Publications & Research :: Policy Research Working Paper
author	Dehn, Jan
author_facet	Dehn, Jan
author_sort	Dehn, Jan
title	The Effects on Growth of Commodity Price Uncertainty and Shocks
title_short	The Effects on Growth of Commodity Price Uncertainty and Shocks
title_full	The Effects on Growth of Commodity Price Uncertainty and Shocks
title_fullStr	The Effects on Growth of Commodity Price Uncertainty and Shocks
title_full_unstemmed	The Effects on Growth of Commodity Price Uncertainty and Shocks
title_sort	effects on growth of commodity price uncertainty and shocks
publisher	World Bank, Washington, DC
publishDate	2014
url	http://documents.worldbank.org/curated/en/2000/09/693025/effects-growth-commodity-price-uncertainty-shocks http://hdl.handle.net/10986/19788
_version_	1764440722846515200

The Effects on Growth of Commodity Price Uncertainty and Shocks

Similar Items