External Price Shock Vulnerability in Import-Dependent Economies: The Case of the Republic of Moldova and a Commodity Import Price Index

This study examines the Republic of Moldova’s macroeconomic vulnerability to external commodity price shocks (1992–2025) using the IMF’s Commodity Import Price Index (CIPI) combined with time series analysis and a mixed-frequency VAR model linking monthly price data to quarterly GDP. Four key findings emerge: First, vulnerability is event-driven rather than seasonal—irregular shocks dominate predictable patterns. Second, the CIPI exhibits highly persistent innovations and is non-stationary in levels, consistent with an I(1) process. This indicates that external import price shocks have long-lasting effects rather than dissipating quickly through mean reversion. Third, structural regimes have shifted, with the post-2020 period showing elevated volatility and higher baseline costs. Fourth, VAR impulse responses reveal a stop–go transmission: external price spikes initially raise nominal GDP through a valuation effect (higher lei value of unchanged import volumes), then feed into inflation, trigger policy tightening, and subsequently depress nominal activity while leaving persistent CPI level effects, which are the primary channel through which the shocks erode household welfare. Policy recommendations include: continuous CIPI monitoring for macro stress testing, buffer design accounting for persistent import-cost shifts, and structural measures such as energy diversification, domestic production capacity expansion, and commodity risk management tools to reduce exposure to global price volatility.