Real Exchange Rates and Commodity Prices:
This paper examines the relations between fluctuations in real exchange rates among the major currencies and fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To the best of our knowledge, no systematic study of those effec...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
1996
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 96/27 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | This paper examines the relations between fluctuations in real exchange rates among the major currencies and fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To the best of our knowledge, no systematic study of those effects has been performed on a wide range of commodities, although Sjaastad and Scacciavillani (1993) have done so for gold. We build on their approach and construct a supply and demand multi-country model, with world market clearing, which incorporates speculative and non-speculative demands for inventories and "static" and "rational" expectations. We estimate the model using several econometric methods on monthly data from January 1972 to January 1992 for 65 commodity prices. The paper finds that, for a small group of commodities, the dollar-denominated price is significantly influenced by the deutsche mark and the yen. The empirical results show that geographical proximity matters, and that supply and demand elasticities are important in determining the commodity price in world markets above and beyond the size of the share of those commodities in world trade |
| Beschreibung: | 1 Online-Ressource (66 p) |
| ISBN: | 1451844476 9781451844474 |
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| 520 | 3 | |a This paper examines the relations between fluctuations in real exchange rates among the major currencies and fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To the best of our knowledge, no systematic study of those effects has been performed on a wide range of commodities, although Sjaastad and Scacciavillani (1993) have done so for gold. We build on their approach and construct a supply and demand multi-country model, with world market clearing, which incorporates speculative and non-speculative demands for inventories and "static" and "rational" expectations. We estimate the model using several econometric methods on monthly data from January 1972 to January 1992 for 65 commodity prices. The paper finds that, for a small group of commodities, the dollar-denominated price is significantly influenced by the deutsche mark and the yen. The empirical results show that geographical proximity matters, and that supply and demand elasticities are important in determining the commodity price in world markets above and beyond the size of the share of those commodities in world trade | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:20Z |
| indexdate | 2024-07-10T09:35:28Z |
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| series2 | IMF Working Papers |
| spelling | Dupont, Dominique Yves Verfasser aut Real Exchange Rates and Commodity Prices Dupont, Dominique Yves Washington, D.C International Monetary Fund 1996 1 Online-Ressource (66 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 96/27 This paper examines the relations between fluctuations in real exchange rates among the major currencies and fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To the best of our knowledge, no systematic study of those effects has been performed on a wide range of commodities, although Sjaastad and Scacciavillani (1993) have done so for gold. We build on their approach and construct a supply and demand multi-country model, with world market clearing, which incorporates speculative and non-speculative demands for inventories and "static" and "rational" expectations. We estimate the model using several econometric methods on monthly data from January 1972 to January 1992 for 65 commodity prices. The paper finds that, for a small group of commodities, the dollar-denominated price is significantly influenced by the deutsche mark and the yen. The empirical results show that geographical proximity matters, and that supply and demand elasticities are important in determining the commodity price in world markets above and beyond the size of the share of those commodities in world trade Online-Ausg Juan-Ramon, V. Hugo Sonstige oth http://elibrary.imf.org/view/IMF001/05558-9781451844474/05558-9781451844474/05558-9781451844474.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Dupont, Dominique Yves Real Exchange Rates and Commodity Prices |
| title | Real Exchange Rates and Commodity Prices |
| title_auth | Real Exchange Rates and Commodity Prices |
| title_exact_search | Real Exchange Rates and Commodity Prices |
| title_exact_search_txtP | Real Exchange Rates and Commodity Prices |
| title_full | Real Exchange Rates and Commodity Prices Dupont, Dominique Yves |
| title_fullStr | Real Exchange Rates and Commodity Prices Dupont, Dominique Yves |
| title_full_unstemmed | Real Exchange Rates and Commodity Prices Dupont, Dominique Yves |
| title_short | Real Exchange Rates and Commodity Prices |
| title_sort | real exchange rates and commodity prices |
| url | http://elibrary.imf.org/view/IMF001/05558-9781451844474/05558-9781451844474/05558-9781451844474.xml |
| work_keys_str_mv | AT dupontdominiqueyves realexchangeratesandcommodityprices AT juanramonvhugo realexchangeratesandcommodityprices |