شوک های قوانین و مقررات تجارت در آفریقا: کوتاه مدت و یا بلند مدت؟

This paper examines the persistence of shocks to the terms of trade using annual data on 42 sub-Saharan African countries for the period 1960–96. Instead of using unit root tests to distinguish between stationary and random walk processes for the terms of trade, this paper characterizes the persistence of shocks using point and interval estimates of the half-lives of terms of trade shocks. Using median-unbiased (MU) estimation techniques that remove the downward bias of standard [least squares (LS)] estimators, we find that the cross-country average of the half-lives of terms of trade shocks is about 6 years. It is also found that the estimated persistence of African terms of trade shocks varies widely—for about one-half of the countries, their half-lives are short-lived (less than 4 years), while for one-third of the countries, their half-lives are long-lived (permanent). The majority of African countries are found to have terms of trade that typically experience finitely persistent (transitory) shocks, which is consistent with the reversion of terms of trade to their long-run trends.

A country's terms of trade is one of the most important relative prices in economics, yet economists are largely ignorant of many of its empirical properties. The ratio of an index of a country's export prices to the prices of its imported goods defines the net barter terms of trade (NBTT), which measures the number of units of exports that can be exchanged for a unit of imports. Particularly for commodity-exporting developing countries, movements in the NBTT are the key determinants of a country's macroeconomic performance, are highly correlated with output fluctuations, and have an important impact on (public and private) savings (Agénor et al., 2000). For example, arabica coffee is the dominant exportable of Ethiopia. The slump in world arabica coffee prices in 1986–87, largely caused by world production in excess of consumption, resulted in a 40% fall in Ethiopia's terms of trade. As imports were about 15% of its national expenditure, this adverse movement in its terms of trade resulted in about a 6% decline in Ethiopia's real income. Such terms of trade-induced shocks to real incomes in developing countries may necessitate a domestic policy response, but in framing an appropriate response, an important question is how long-lasting are typical shocks? This paper examines the persistence of shocks to the net barter terms of trade of 42 sub-Saharan African countries. Sub-Saharan Africa's exports are overwhelmingly comprised of primary commodities, while food items, oil, and manufactured goods are the major imports.1 The goal of this paper is to characterize the duration of shocks to the terms of trade of sub-Saharan African countries. While there are numerous papers that detect deterministic trends in real commodity prices, and some work has been carried out on price trends in the important exports of developing countries, there has been very little research that examines the persistence of stochastic shocks to a country's terms of trade. Consistent with consumption-smoothing behavior and the intertemporal approach to the current account, if terms of trade shocks are typically short-lived, there may be scope for changes in domestic saving or (given access to foreign capital) for international borrowing and lending to smooth the path of national consumption. However, if terms of trade shocks are typically long-lived, then counter-cyclical policies have little chance of success, and countries should adjust consumption to the altered permanent income level (Obstfeld, 1982). The export performance of African countries has deteriorated steadily since the early 1970s, with some improvements recorded since 1993. Although debated, the level and trend of the NBTT have not been identified as a major factor explaining Africa's dismal export performance. It has been argued, however, that African governments have handled terms of trade shocks extremely badly, and that an inability to cope with external shocks has contributed to Africa's debt problems and very low rate of economic growth. As a result of this mishandling, the gains obtained from positive terms of trade shocks have been small, while real losses from negative shocks have been large. For example, many governments responded to commodity price booms in the late 1970s by sharply expanding public expenditure for hastily executed, import-intensive public investment programs that they either abandoned or financed with foreign borrowing when revenues fell with subsequent steep declines in commodity prices. Two recent studies challenge parts of the conventional wisdom that commodity price booms in Africa are generally harmful. The approach and findings of Collier et al. (1999) and Deaton and Miller (1996) differ in many respects. Both studies agree, however, that the difficulty in predicting the likely duration of a commodity price shock is a constraint on the ability of African policy-makers to manage commodity booms and slumps. In light of what Deaton and Miller see as insurmountable problems in reliably forecasting commodity prices, they recommend that countries adopt simple policy rules, such as making fundamental adjustments to all price shocks, unless they can be unambiguously identified as temporary. The same difficulties are involved in assessing the duration of shocks to the NBTT. Is it possible to provide estimates of the typical duration of terms of trade shocks that may allow for a deviation from the Deaton–Miller rule? The traditional approach to the characterization of the persistence properties of economic time series has been dependent on unit root tests. Series are modeled either as trend-stationary, where innovations have no permanent effects, or difference-stationary, implying that shocks have permanent effects. However, one aspect of unit root econometrics that has been largely neglected is the problem of “near-unit root bias”, which biases empirical results in favor of finding stationarity. An important pitfall in using the autoregressive (AR) or unit root model to analyze the persistence of shocks to the terms of trade is that standard estimators, such as least squares, are significantly downwardly biased in finite samples, especially when the true autoregressive parameter is close to but less than one. In this case, the process is close to being nonstationary and, as the least squares estimator minimizes the regression residual variance, it will tend to make the data-generating process appear to be more stationary than it actually is by forcing the autoregressive parameter away from unity. As lower values of the autoregressive parameter imply faster speeds of adjustment following a shock, this will also result in a downward bias to least squares-based estimates of half-lives of shocks. In addition to the inherent difficulties in distinguishing between the stationary and random walk processes for the terms of trade (Deaton, 1992), reliance on unit root tests does not provide a measure of uncertainty of the estimates of finiteness or permanence of innovations because a rejection of the unit root null could still be consistent with a stationary model of the terms of trade that has highly persistent shocks. In contrast to this stark dichotomy between whether shocks to the NBTT are mean reverting (finite persistence) or not (permanent), in this paper we characterize the extent of reversion using point and interval estimates of the half-life of shocks to the NBTT, where the half-life is typically defined as the duration of time required for a unit shock to the level of a series to dissipate by one-half. Point and interval estimators are useful statistics for providing information to draw conclusions about the duration of terms of trade shocks, unlike hypothesis tests, as they are informative when a hypothesis is not rejected. The remainder of the paper is organized as follows. Section 2 sets out the median-unbiased procedures of Andrews (1993) and Andrews and Chen (1994) which are used in the estimation of autoregressive (AR) models. These estimators correct for the near-unit root bias of standard (least squares) estimators and yield unbiased point and interval statistics of the persistence of stochastic shocks to the terms of trade. Section 3 describes the African terms of trade data used in the study. It also presents the main empirical findings, which comprise of downwardly biased and median-unbiased point and interval estimates of the persistence of shocks to the terms of trade of sub-Saharan African countries. Section 4 concludes.

This paper conducts an empirical analysis of the persistence of shocks to the terms of trade using annual data on the net barter terms of trade of the commodity-exporting countries of sub-Saharan Africa. The majority of countries are found to have finitely persistent shocks to their terms of trade, which is consistent with the reversion of terms of trade to their long-run trends. In our sample of 42 countries, the average bias-corrected half-life of terms of trade shocks is about 6 years. There is also a bifurcation in the duration of shocks to African terms of trade, with about half the countries experiencing short-lived shocks (where it typically takes less than 4 years for half of the effect of the initial shock to dissipate) and one-third of the countries experiencing long-lived shocks (where shocks are best viewed as being permanent). Using conventional two-sided hypothesis tests, the confidence interval of the bias-corrected half-life of their terms of trade shocks are typically wide, indicating that there is a great deal of uncertainty as to the ‘true’ speed of mean reversion. One-seventh of the countries in our sample have finite upper bounds to the confidence intervals of their half-lives of terms of trade shocks, indicating that, for the majority of countries, the associated confidence intervals around the half-lives are too wide to provide much information as to whether shocks are finitely persistent. While the null hypothesis of no mean reversion is not rejected at the 5% level for 36 of the 42 countries (as the upper bound of the unbiased confidence interval for the half-life of shocks to the terms of trade contains infinity), failure to reject the null hypothesis conveys little information as to the validity of mean reversion, as such a failure may occur either because mean reversion is true, or because there is too much uncertainty regarding the speed of reversion. In contrast, using the median-unbiased point estimates of the half-lives of terms of trade shocks and Andrews (1993) unbiased model selection rule, we can be more definitive about our willingness to draw conclusions as to the presence or absence of a reversionary component in national terms of trade series. When using bias-corrected Dickey–Fuller and Augmented Dickey–Fuller regressions that are robust to serial correlation, we find that two-thirds (29 of 42) of the countries have finite bias-corrected half-lives of terms of trade shocks. This indicates that, for these countries, there is a better than even chance that their terms of trade shocks are transitory, yet the speed of reversion of the national terms of trade series to their long-run trends is, in several cases, rather slow. In addition, our results indicate that even for the commodity-exporting countries of sub-Saharan Africa, the duration of typical terms of trade shocks varies widely. The confidence intervals for shock persistence are also important here, as there are some countries where the true shock duration is estimated relatively precisely, and others where the confidence intervals are wide, indicating a broad range of possible outcomes. On balance, the median-unbiased point and interval estimates of shock persistence, and the unbiased model selection rule, provide much stronger evidence that the majority of African countries have terms of trade that typically experience finitely persistent (transitory) shocks. This evidence, in conjunction with episode-specific knowledge of the underlying causes of any given movement in the terms of trade, can be useful (especially for policymakers) in forming a judgment of the likely duration of particular terms of trade shocks. Since the debt crisis of the 1980s, African countries have typically not had access to international capital markets for use in smoothing shocks. As a result, there may be scope for domestic policy responses aimed at smoothing the path of national consumption in response to terms of trade shocks. This is especially important for temporary positive shocks (such as the beverage booms of the 1970s), where increased domestic savings out of a temporary windfall can raise current and future output. The shorter the expected duration of the terms of trade shock, the higher the windfall savings rate should be. Particularly for the majority of countries with typical terms of trade shocks that are relatively short-lived, measures of shock persistence and their associated confidence intervals can be useful in informing such domestic savings decisions.