商品驱动的宏观经济波动：规模重要吗？

Commodity-drivenMacroeconomicFluctuations: Does Size Matter? Patricia Gomez-Gonzalez, Maximiliano Jerez-Osses, VidaMaver, Jorge Miranda-Pinto, Jean-Marc Natal WP/25/208 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025OCT IMF Working Paper ResearchDepartment Commodity-driven Macroeconomic Fluctuations:Does Size Matter?Prepared byPatricia Gomez-Gonzalez,Maximiliano Jerez-Osses, Vida Maver, Jorge Miranda-Pinto,Jean-Marc Natal Authorized for distribution byPetya Koeva BrooksOctober2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Commodities play a central yet often underappreciated role in shaping macroeconomicfluctuations across both advanced economies (AEs) and emerging market and developing economies(EMDEs), with the latter exhibiting greater volatility. This paper examines how the domestic interconnectednessof the commodity sector conditions the transmission of commodity price shocks. Rather than focusing only onsectoral size, we emphasize production linkages, measured by the network-adjusted value-added share(NAVAS) of the commodity sector. Using panel local projections for OECD countries, we show that greaterinterconnectedness amplifies the positive effects of terms-of-trade gains on consumption while mitigating thenegative effects of declines. To interpret these results, we develop a small open economy model withproduction networks. The model highlights how commodity interconnectedness strengthens wealth channelsbut dampens real wage channels, shaping the overall macroeconomic response. Our findings underscore theimportance of network structures in explaining commodity shock propagation and the heightened volatilityobserved in EMDEs. Commodity-drivenMacroeconomic Fluctuations: Does Size Matter? Prepared byPatricia Gomez-Gonzalez,Maximiliano Jerez-Osses, VidaMaver, Jorge Miranda-Pinto, Jean-Marc Natal1 1Introduction Commodities play a central, yet often underappreciated, role in shaping macroeconomicfluctuations across both advanced economies (AEs) and emerging market and developingeconomies (EMDEs), with the latter typically experiencing greater macroeconomic volatility(e.g., Drechsel and Tenreyro, 2018; Kohn et al., 2021; Juvenal and Petrella, 2024; Miranda-Pinto et al., 2025).Understanding the macroeconomic consequences of commodity pricemovements has become increasingly important amid climate-related supply disruptions,geopolitical tensions, and evolving global trade dynamics. This paper examines how the linkages between commodity sectors and the broader econ-omy di!er between EMDEs and AEs, and how these upstream and downstream connectionsa!ect the propagation of commodity price shocks to the rest of the economy. Drawing onempirical analysis and a general equilibrium framework, it shows that the macroeconomicimpact of these shocks depends less on the sector’s size than on its interconnectedness withthe rest of the economy.This interconnectedness is captured by the Network-AdjustedValue-Added Share (NAVAS), which helps explain cross-country variation in consumptionresponses to commodity terms of trade fluctuations.These findings challenge the conven-tional emphasis on measures of direct sectoral importance, such as size or net exports, asthe primary driver of the increased volatility of the EMDEs’ heightened business cycle. The paper begins by documenting stylized facts on the size (Domarweight) and inter-connectedness of the commodity sector, separately for AEs and EMDEs.1 Using data from66 countries, roughly evenly split between EMDEs and AEs, we find that commodity sectorsare generally larger and somewhat more interconnected within domestic production net-works in EMDEs compared to AEs. We quantify this interconnectedness using the NAVASintroduced by Silva et al. 2024, which captures the share of total factor income generatedby the commodity sector, accounting for all direct and indirect linkages, both upstream and1Domar weight (Domar, 1961) is the ratio between industry gross output and aggregate GDP. downstream and show that both size and NAVAS exhibit substantial heterogeneity acrosscommodity types (including energy, metals, and agriculture) and across countries. Impor-tantly, we show that NAVAS is a key variable in explaining cross-country heterogeneity inconsumption responses to commodity terms of trade shocks. To gauge the relationship between consumption and terms of trade shocks, the pa-per applies panel local projection (LP) methods following Jord`a (2005) to examine howthe characteris