Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/272218 
Year of Publication: 
2022
Series/Report no.: 
DIW Discussion Papers No. 2020
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
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.
Subjects: 
Sovereign Risk
Commodity prices
JEL: 
E44
F41
F34
H63
G12
Document Type: 
Working Paper

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