Real Exchange Rates And Commodity Prices

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Real Exchange Rates And Commodity Prices

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Author : Dominique Y. Dupont
language : en
Publisher:
Release Date : 2006

Real Exchange Rates And Commodity Prices written by Dominique Y. Dupont and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

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 quot;staticquot; and quot;rationalquot; 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.

Real Exchange Rates And Commodity Prices

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Author : Dominique Yves Dupont
language : en
Publisher: International Monetary Fund
Release Date : 1996-04

Real Exchange Rates And Commodity Prices written by Dominique Yves Dupont and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-04 with Business & Economics categories.

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.

Real Exchange Rates And Commodity Prices In Neoclassical Model

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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 1988-06-30

Real Exchange Rates And Commodity Prices In Neoclassical Model written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-06-30 with Business & Economics categories.

This paper presents a neoclassical model that explains the observed empirical relationship between government spending and world commodity supplies and the real exchange rate and real commodity prices. It is shown that fiscal expansion and increasing world commodity supplies simultaneously lead to an appreciation of the real exchange rate and a decline in relative commodity prices. This structural model is estimated and its forecasting performance is compared to a variety of models. We find that theory and structure help in predicting commodity prices, although not the exchange rate, and that predictive ability increases as the forecast horizon is lengthened. MASTER FILES ROOM C-130 001

Real Exchange Rates And Fundamentals

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Author : Luca Antonio Ricci
language : en
Publisher: International Monetary Fund
Release Date : 2008

Real Exchange Rates And Fundamentals written by Luca Antonio Ricci and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.

Exchange Rates Interest Rates And Commodity Prices

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Author : Meher Manzur
language : en
Publisher: Edward Elgar Publishing
Release Date : 2002

Exchange Rates Interest Rates And Commodity Prices written by Meher Manzur and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Foreign exchange rates categories.

This book explores the key issues relating to links between exchange rate instability and domestic inflation, including real exchange rate and interest rate manifestations, and the co-variability of exchange rates and commodity prices. The common theme throughout is the behaviour of asset prices and interest rates in international markets. A number of interrelated questions regarding the interactions of exchange rates, interest rates and commodity prices are posed: Why is purchasing power parity invariably controversial? Despite overwhelming evidence that sterilised central bank interventions are impotent, why do major industrialised countries (such as the G-7) continue to look for accords to stem exchange rate volatility? Why are the currencies of resource-based economies depreciating when the commodity prices are holding up? Has the link between exchange rates and commodity prices collapsed? In a world of increasing globalisation, why are interest rate movements so poorly correlated across countries? New insights to these and other fundamental questions in international finance are provided by way of empirical analyses. Whilst there remains much that is little understood, the conclusions concerning the validity of the theory of purchasing power parity are becoming more and more reliable. This book is a must-read for graduate students, researchers and lecturers interested in finance, economics or business. Exchange Rates, Interest Rates and Commodity Prices will also appeal to policymakers.

Interest Rates Exchange Rates And World Monetary Policy

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Author : John E. Floyd
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-04

Interest Rates Exchange Rates And World Monetary Policy written by John E. Floyd and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-04 with Business & Economics categories.

A careful basic theoretical and econometric analysis of the factors determining the real exchange rates of Canada, the U.K., Japan, France and Germany with respect to the United States is conducted. The resulting conclusion is that real exchange rates are almost entirely determined by real factors relating to growth and technology such as oil and commodity prices, international allocations of world investment across countries, and underlying terms of trade changes. Unanticipated money supply shocks, calculated in five alternative ways have virtually no effects. A Blanchard-Quah VAR analysis also indicates that the effects of real shocks predominate over monetary shocks by a wide margin. The implications of these facts for the conduct of monetary policy in countries outside the U.S. are then explored leading to the conclusion that all countries, to avoid exchange rate overshooting, have tended to automatically follow the same monetary policy as the United States. The history of world monetary policy is reviewed along with the determination of real exchange rates within the Euro Area.

Fiscal Policy The Real Exchange Rate And Commodity Prices

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Author : Ms.Carmen Reinhart
language : en
Publisher: International Monetary Fund
Release Date : 1990-10-01

Fiscal Policy The Real Exchange Rate And Commodity Prices written by Ms.Carmen Reinhart and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-10-01 with Business & Economics categories.

The role of the international commodity market in transmitting disturbances is considered in a model that incorporates commodities as an input in production. The analysis employs a three-country framework: a liquidity-constrained commodity supplier and two industrial countries that import the commodity, export differentiated manufactured goods and hold the outstanding debt of the commodity exporter. In this setting the impact of changes in fiscal policy, commodity supplies, and the real interest rate are assessed. Particular attention is paid to the responses of the real exchange rate, commodity prices, and the international distribution of debt to the various shocks.

Real Exchange Rates And Commodity Prices

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Author : Dominique Dupont
language : en
Publisher:
Release Date : 1996

Real Exchange Rates And Commodity Prices written by Dominique Dupont and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Commodity Prices And Markets

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Author : Takatoshi Ito
language : en
Publisher: University of Chicago Press
Release Date : 2011-02-15

Commodity Prices And Markets written by Takatoshi Ito and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-15 with Business & Economics categories.

Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects, such as inflation and low rates of economic growth. Commodity Prices and Markets advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim. The volume addresses three distinct subjects: the difficulties in forecasting commodity prices, the effects of exogenous commodity price shocks on the domestic economy, and the relationship between price shocks and monetary policy. The ability to forecast commodity prices is difficult but of great importance to businesses and governments, and this volume will be invaluable to professionals and policy makers interested in the field.

Real Exchange Rate And Commodity Prices Relation Identified Using Changes Of Exchange Rate Regime

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Author :
language : pt-BR
Publisher:
Release Date : 2003

Real Exchange Rate And Commodity Prices Relation Identified Using Changes Of Exchange Rate Regime written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

A partir do método de Rigobon (2001) para identificação de um sistema de equações simultâneas na presença de heterocedasticidade, aprofundamos a discussão sobre a relação entre os preços internacionais de commodities e ocâmbio real para países com determinadas características. Ao contrário da abordagem tradicional da literatura de commodity currency nesta dissertação admitimos a possibilidade dos preços de commodities serem endógenos emrelação à taxa de câmbio, trabalhamos com séries que incorporam mais de um regime cambial e, através de diversas simulações, encontramos evidências de que hipóteses sobre a estacionariedade das séries, em torno da raiz unitária, nãoafetam significativamente os resultados do exercício empírico. Salvo algumas restrições, os resultados derivados sugerem que o câmbio real do Brasil deve apreciar em resposta a elevações nos preços internacionais das principais commodities que exporta, mas a elasticidade dos preços de commodities em relação ao câmbio não pode ser considerada estatisticamente diferente de zero. Para a Nova Zelândia, as evidências indicam que os efeitos contemporâneos dos movimentos da taxa de câmbio sobre os preços das suas principais commodities exportadas é significativo, embora o efeito dos preços das commodities sobre o câmbio deva ser considerado estatisticamente igual a zero.