Commodity terms of trade news and country spreads in emerging economies

Jia Liu; Ingul Baek; Sanha Noh

doi:10.1016/j.econlet.2025.112604

Commodity terms of trade news and country spreads in emerging economies

Jia Liu
, Ingul Baek
, Sanha Noh^*

^*Corresponding author for this work

Faculty of Economics

Research output: Contribution to journal › Journal article › peer-review

Abstract

This paper examines the dynamic relationship between commodity terms of trade (CTOT) news shocks and country spreads in commodity-exporting emerging economies. Using a VAR model and shock identification approach based on Uhlig (2003), we show that positive CTOT news shocks lead to significant and persistent increases in output, consumption, and investment, accompanied by reductions in country spreads. Our analysis reveals that country spread shocks largely reflect information about future movements in CTOT. Country-specific results highlight heterogeneity, with stronger correlations between these shocks observed in Argentina, Peru, and Colombia compared to Brazil and Chile. Our findings emphasize that financial frictions potentially play a role in propagating CTOT news shocks in commodity-exporting emerging economies.

Original language	English
Article number	112604
Journal	Economics Letters
Volume	256
DOIs	https://doi.org/10.1016/j.econlet.2025.112604
State	Published - 2025.10

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This output contributes to the following UN Sustainable Development Goals (SDGs)

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Keywords

Commodity terms of trade
Country spreads
Emerging economies
News shocks
VAR model

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10.1016/j.econlet.2025.112604

Cite this

@article{2f8cbb08ec69447da95b894ef87dba53,

title = "Commodity terms of trade news and country spreads in emerging economies",

abstract = "This paper examines the dynamic relationship between commodity terms of trade (CTOT) news shocks and country spreads in commodity-exporting emerging economies. Using a VAR model and shock identification approach based on Uhlig (2003), we show that positive CTOT news shocks lead to significant and persistent increases in output, consumption, and investment, accompanied by reductions in country spreads. Our analysis reveals that country spread shocks largely reflect information about future movements in CTOT. Country-specific results highlight heterogeneity, with stronger correlations between these shocks observed in Argentina, Peru, and Colombia compared to Brazil and Chile. Our findings emphasize that financial frictions potentially play a role in propagating CTOT news shocks in commodity-exporting emerging economies.",

keywords = "Commodity terms of trade, Country spreads, Emerging economies, News shocks, VAR model",

author = "Jia Liu and Ingul Baek and Sanha Noh",

note = "Publisher Copyright: {\textcopyright} 2025 Elsevier B.V.",

year = "2025",

month = oct,

doi = "10.1016/j.econlet.2025.112604",

language = "English",

volume = "256",

journal = "Economics Letters",

issn = "0165-1765",

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TY - JOUR

T1 - Commodity terms of trade news and country spreads in emerging economies

AU - Liu, Jia

AU - Baek, Ingul

AU - Noh, Sanha

PY - 2025/10

Y1 - 2025/10

N2 - This paper examines the dynamic relationship between commodity terms of trade (CTOT) news shocks and country spreads in commodity-exporting emerging economies. Using a VAR model and shock identification approach based on Uhlig (2003), we show that positive CTOT news shocks lead to significant and persistent increases in output, consumption, and investment, accompanied by reductions in country spreads. Our analysis reveals that country spread shocks largely reflect information about future movements in CTOT. Country-specific results highlight heterogeneity, with stronger correlations between these shocks observed in Argentina, Peru, and Colombia compared to Brazil and Chile. Our findings emphasize that financial frictions potentially play a role in propagating CTOT news shocks in commodity-exporting emerging economies.

AB - This paper examines the dynamic relationship between commodity terms of trade (CTOT) news shocks and country spreads in commodity-exporting emerging economies. Using a VAR model and shock identification approach based on Uhlig (2003), we show that positive CTOT news shocks lead to significant and persistent increases in output, consumption, and investment, accompanied by reductions in country spreads. Our analysis reveals that country spread shocks largely reflect information about future movements in CTOT. Country-specific results highlight heterogeneity, with stronger correlations between these shocks observed in Argentina, Peru, and Colombia compared to Brazil and Chile. Our findings emphasize that financial frictions potentially play a role in propagating CTOT news shocks in commodity-exporting emerging economies.

KW - Commodity terms of trade

KW - Country spreads

KW - Emerging economies

KW - News shocks

KW - VAR model

UR - https://www.scopus.com/pages/publications/105015777824

U2 - 10.1016/j.econlet.2025.112604

DO - 10.1016/j.econlet.2025.112604

M3 - Journal article

AN - SCOPUS:105015777824

SN - 0165-1765

VL - 256

JO - Economics Letters

JF - Economics Letters

M1 - 112604

ER -

Commodity terms of trade news and country spreads in emerging economies

Abstract

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Keywords

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Findings from Jeonbuk National University in the Area of Investment Described (Commodity Terms of Trade News and Country Spreads In Emerging Economies)

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Commodity terms of trade news and country spreads in emerging economies

Abstract

UN SDGs

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Findings from Jeonbuk National University in the Area of Investment Described (Commodity Terms of Trade News and Country Spreads In Emerging Economies)

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