After the tide: Commodity currencies and global trade

• 成果类型: Article
• 署名作者: Ready, Robert; Roussanov, Nikolai; Ward, Colin
• 署名单位: University of Rochester; University of Pennsylvania; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.11.005
• 发表日期: 2017
• 页码: 69-86
• 关键词: Shipping; Trade costs; Carry trade; Currency risk premia; Exchange rates; International risk sharing; Commodity trade

摘要

The decade prior to the Great Recession saw a boom in global trade and rising transportation costs. High-yielding commodity exporters' currencies appreciated, boosting carry trade profits. The Global Recession sharply reversed these trends. We interpret these facts with a two-country general equilibrium model that features specialization in production and endogenous fluctuations in trade costs. Slow adjustment in the shipping sector generates boom-bust cycles in freight rates and, as a consequence, in currency risk premia. We validate these predictions using global shipping data. Our calibrated model explains about 57% of the narrowing of interest rate differentials post-crisis. (C) 2016 Elsevier B.V. All rights reserved.