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Abstract

Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in Sub-Saharan Africa. This paper quantifies the impact of agricultural commodity price shocks using a near vector autoregressive model. The novel aspect of this model is that we define an auxiliary variable that can potentially capture the definition of a price shock and allows us to determine whether the response of per capita GDP growth in Sub-Saharan Africa to these price shocks is asymmetric. We find that there is evidence of such asymmetric responses to commodity price shocks.

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