Global commodity markets and sovereign risk across 150 years

Arbeitspapier

How do commodity price movements affect sovereign default risk over the long-run? Using a novel dataset covering 41 countries and 42 raw commodities, we take a comprehensive long-run view to shed light on this so far understudied relationship between commodity risk and sovereign risk across 150 years. We create a novel country-specific commodity price index that allows us to take advantage of countries' variation in their commodity export compositions. Our results are twofold: first, commodity price fluctuations show a persistent association with sovereign borrowing costs for countries that are commodity export dependent across the last one and a half centuries. Second, historically this relationship was driven by agricultural price movements; today it is driven by mineral and energy price movements.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 2020

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Open Economy Macroeconomics ; International Lending and Debt Problems ; National Debt; Debt Management; Sovereign Debt ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: Sovereign Risk ; Commodity prices

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Domínguez-Cardoza, Angélica ; Garamow, Adelina ; Meyer, Josefin
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/272218
• Last update: 10.03.2025, 11:42 AM CET