This paper estimates the asymmetric effects of commodity price shocks in emerging economies. We employ non-linear panel local projections to show that negative commodity price shocks induce more abrupt effects on output and investment than positive shocks. The response of financial conditions, in terms of increased country spreads and reduced net capital inflows, is crucial in driving the sign-dependent responses. In contrast, neither the exchange rate regime nor fiscal policy explain the asymmetry. These empirical findings are consistent with a small open economy model with occasionally binding borrowing constraints proposed in previous works.