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Global Commodity Markets and Sovereign Risk across 150 Years

Discussion Papers 2020, 45 S.

Angélica Domínguez-Cardoza, Adelina Garamow, Josefin Meyer


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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.

Josefin Meyer

Head of International Macroeconomics Research Group in the Macroeconomics Department

JEL-Classification: E44;F41;F34;H63;G12
Keywords: Sovereign Risk, commodity prices
Frei zugängliche Version: (econstor)