Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266002 
Year of Publication: 
2022
Series/Report no.: 
CESifo Working Paper No. 9967
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the commodity price effect is non-uniform across countries and commodity sectors, and moreover varies over time. The use of fixed weight price indexes, or nominal exchange rates and commodity prices, also yields heterogeneous commodity price effects. Further, the pattern of commodity price effects is influenced by the presence of macroeconomic conditions, the effects of crises, and the exchange rates of top trading partners. These empirical results highlight the challenges of explaining a wide range of currency behaviors across different time periods with a single commodity-price-based exchange rate model. These findings also complicate the tasks facing policymakers who assume stable commodity price effects.
Subjects: 
commodity currencies
sectoral commodity prices
The US Dollar Effect
The Global Financial Crisis
macro variables
JEL: 
F31
F41
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.