Got milk? The effect of export price shocks on exchange rates

• 成果类型: Article
• 署名作者: Stein, Hillary
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104080
• 发表日期: 2025
• 关键词: Exchange rates; event studies; Terms of trade; commodity prices

摘要

I examine the effect of exogenous terms of trade shocks on an exchange rate by turning to New Zealand's dairy auctions. Dairy is New Zealand's largest export category, making up almost 20 percent of exports. Specifically, whole milk powder accounts for 6 to 11 percent of total exports, and its price is determined in twice-monthly auctions. I use event studies to quantify the impact of surprise auction results on the New Zealand dollar on a high-frequency basis. I find that a 1 percent surprise increase in whole milk powder prices has a modest, but nevertheless significant, effect on the nominal exchange rate. The methodology developed here can potentially be applied to other commodity exporters.