The causal effects of commodity shocks

• 成果类型: Article
• 署名作者: Curatola-Melo, Alisson; Guimaraes, Bernardo
• 署名单位: Central Bank of Brazil; Getulio Vargas Foundation
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104200
• 发表日期: 2026
• 关键词: business cycles; monetary-policy; price shocks; IMPACT; US; identification; terms; RISK

摘要

This paper disentangles the causal effects of commodity price movements on emerging market indicators from those driven by correlated external factors, such as global growth expectations and financial conditions. We employ an identification-through-heteroskedasticity approach using USDA Grain Stock reports, which have an exogenous impact on soybean, corn, and wheat prices. Our findings show that the causal effects of grain price shocks on default risk, stock indexes, and exchange rates are typically less than half the size of the unadjusted estimates.