ABSTRACT

This study explores the impact of commodity price volatility on external debt accumulation under fixed, managed, and floating exchange rate regimes. We estimate dynamic panel data models for 97 countries from 1993 to 2016. Our empirical findings show that commodity price volatility increases external debt accumulation for commodity-exporting countries. This impact is three-times higher for countries with fixed exchange rate regimes compared to managed floating exchange rate regimes. Under floating exchange regimes, the effect of commodity price volatility on external debt is statistically insignificant. Our results suggest that the adoption of a floating exchange rate regime by commodity-exporting countries is critical to mitigate the effects of commodity price volatility on external debt accumulation.

摘要

本研究探讨了在固定、管理和浮动汇率制度下，商品价格波动对外债积累的影响。我们估计了 97 个国家从 1993 年到 2016 年的动态面板数据模型。我们的实证结果表明，大宗商品价格波动会增加大宗商品出口国的外债积累。与有管理的浮动汇率制度相比，采用固定汇率制度的国家的这种影响要高出三倍。在浮动汇率制度下，商品价格波动对外债的影响在统计上是微不足道的。我们的研究结果表明，大宗商品出口国采用浮动汇率制度对于减轻大宗商品价格波动对外债积累的影响至关重要。