并非所有冲击都是平等分担的：大宗商品出口国和国际风险分担（英）

Policy Research Working Paper Not All Shocks Are Shared Equally Commodity Exporters and International Risk Sharing Emiliano LuttiniDawit MekonnenValerie Mercer-BlackmanBent Sorensen Policy Research Working Paper11297 Abstract Using world commodity prices as an instrument, thispaper proposes a novel method for decomposing channelsof international risk sharing for commodity-exporting commodity-price growth, and the non-commodity “sector”’as its orthogonal complement. The findings show that com-modity-price-induced risk is shared significantly more thanother risks, in particular via pro-cyclical government savings, The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about developmentissues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry thenames of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely thoseof the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and Not All Shocks Are Shared Equally: CommodityExporters and International Risk Sharing∗ Emiliano LuttiniWorld BankDawit MekonnenWorld BankValerieMercer-BlackmanInter-AmericanDevelopmentBankBentSørensen Keywords:risksharing,consumption,commodityexporters.JELcodes:F02,F21,F36,Q02 1Introduction We propose a new method for estimating how components of GDP risk are shared (“in-sured” or “smoothed”) internationally, focusing on commodity-exporting countries (“com-modity exporters”). We decompose GDP growth of commodity exporters into two com- Commodity-price shocks lead to large and persistent fluctuations in the value of GDPfor countries whose exports are dominated by commodities—particularly energy andmetals exporters (Figure 1). These shocks translate into significant volatility in the valueof GDP, making international risk sharing especially important for such economies. We Our methodological innovation is that we estimate risk sharing and its channels fortwo types of GDP shocks: those caused by variation in commodity-prices and those or-thogonal to commodity-prices. We use a Bartik-style shift-share setup (see Goldsmith-Pinkham, Sorkin and Swift (2020)) to decompose GDP growth into the projection onthe instrument and the projection on the orthogonal space. We interpret the projection Countries can hedge against risk in various ways.First, they can insure their con-sumption from GDP fluctuations by trading ownership rights for their commodities andinvesting the proceeds in a diversified international portfolio (through trading equities,via foreign direct investment, etc.). This generates pro-cyclical net factor income, a “chan- commodity sector and the non-commodity sector shocks, we generalize the accountingmethodology developed by Asdrubali, Sørensen and Yosha (1996) (henceforth “ASY”) tocountry-level “sectoral” shocks. The ASY accounting framework measures risk sharing,regardless of whether GDP shocks are exogenous or not, but we isolate commodity-price Our main finding is that GDP risk attributed to the commodity sector is shared sig-nificantly more than other types of risk. We first establish that exporters of energy andmetals share risk similarly and significantly more than commodity importers and agri-cultural commodity exporters.We then apply our methodology to energy and metalexporting countries, which we refer to as commodity exporters throughout the paper. These sectoral differences in risk sharing are driven by country-level savings that arepositively correlated with the commodity-price cycle. We find that this pattern is par-ticularly strong for government savings, especially at shorter time horizons, possibly re-flecting the inability of credit-constrained governments to increase savings (borrow) overlonger horizons following negative shocks. International factor income plays a smaller Related literature. To our knowledge, this is the first paper to estimate sectoral chan-nels of risk sharing for commodity-exporting (or any other) countries. Recent related lit-erature such as Arroyo Marioli and Vegh (2023) illustrates the challenges for government ity importers (although they show that this pattern has become less pronounced in thelast 15 years).Early estimates of the degree of international risk sharing consistentlyfound that risk sharing is low relative to theoretical predictions, even for highly finan- Estimating channels of risk sharing was first suggested by ASY for U.S. states andapplied to countries by Sørensen and Yosha (1998). The ASY regressions have a simpleintuitive interpretation in terms of diversification of ownership and savings, although the findings are not matched to any specific structural model. However, Hoffmann et al.(2019) estimate channels of risk sharing using a computational quantitativ