Commodity currencies

• 成果类型: Article; Proceedings Paper
• 署名作者: Chen, YC; Rogoff, K
• 署名单位: International Monetary Fund; Harvard University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00072-7
• 发表日期: 2003
• 页码: 133-160
• 关键词: Exchange rates; commodity prices; Purchasing power parity; Terms of trade

摘要

This paper looks at real exchange rate behavior by focusing on three OECD economies (Australia, Canada, and New Zealand) where primary commodities constitute a significant share of their exports. For Australia and New Zealand especially, we find that the US dollar price of their commodity exports (generally exogenous to these small economies) has a strong and stable influence on their floating real rates, with the magnitude of the effects consistent with predictions of standard theoretical models. However, after controlling for commodity price shocks, there is still a purchasing power parity puzzle in the residual. The results here are relevant to developing commodity-exporting countries as they liberalize their capital markets and move towards floating exchange rates. (C) 2002 Elsevier Science B.V. All rights reserved.