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2 edition of Commodity currencies and empirical exchange rate puzzles found in the catalog.

Commodity currencies and empirical exchange rate puzzles

Yu-chin Chen

Commodity currencies and empirical exchange rate puzzles

by Yu-chin Chen

  • 99 Want to read
  • 21 Currently reading

Published by International Monetary Fund, Research Department in [Washington, D.C.] .
Written in English

    Subjects:
  • Primary commodities -- Prices -- Australia -- Econometric models.,
  • Primary commodities -- Prices -- Canada -- Econometric models.,
  • Primary commodities -- Prices -- New Zealand -- Econometric models.,
  • Foreign exchange rates -- Australia -- Econometric models.,
  • Foreign exchange rates -- Canada -- Econometric models.,
  • Foreign exchange rates -- New Zealand -- Econometric models.

  • Edition Notes

    StatementYu-chin Chen and Kenneth Rogoff.
    GenreEconometric models.
    SeriesIMF working paper -- WP/02/27
    ContributionsRogoff, Kenneth S., International Monetary Fund. Research Dept.
    The Physical Object
    Pagination45 p. :
    Number of Pages45
    ID Numbers
    Open LibraryOL21262094M

    Currencies and commodities: modeling the impact of exchange rates on commodity prices in the world market1 Abstract: Prices of internationally traded commodities are notoriously volatile, due in part to market fundamentals, but also in part to exchange rate movements. It is useful to. The only exception is the study of Ferraro et al. () however the consideration was restricted to a single commodity price (which is oil price) and a single exchange rate (which is the Canadian.

    1 What Makes a Commodity Currency? Yu-chin Chen a, Dongwon Lee b a Department of Economics, University of Washington, Seattle, WA , USA b Department of Economics, University of California, Riverside, CA , USA This draft: September, ABSTRACT The “ commodity currency ” literature highlights the robust exchange rate response to fluctuations in world commodity prices that . "This ambitious and impressive book covers the international macroeconomics and finance literature on nominal exchange-rate determination. It will be a useful reference for those who want to understand standard theoretical models and empirical techniques, and for those who want to specialize in the microstructure of the foreign exchange markets."—Pierre-Olivier Gourinchas, University of.

    There is a large empirical literature on the determinants of the behavior of the real exchange rate, shocks may help resolve some of the major empirical puzzles which persist in modeling real exchange contrary to Mussa (), the behavior of the real exchange rate of commodity currencies is found to be independent of the nominal. Exchange rate as a relative price. The dollar-euro exchange rate indicates the amount of dollars necessary to purchase one euro. If the exchange rate is $, it means that you need $ per euro. Real vs. nominal exchange rates. Nominal exchange rates imply the relative price of two currencies.


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Commodity currencies and empirical exchange rate puzzles by Yu-chin Chen Download PDF EPUB FB2

Downloadable. This paper re-examines empirical exchange rate puzzles 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 U.S. dollar price of their commodity exports (generally exogenous to these small economies) —has a strong and stable. Get this from a library.

Commodity currencies and empirical exchange rate puzzles. [Yu-chin Chen; Kenneth S Rogoff; International Monetary Fund. Research Department.] -- Annotation This paper re-examines empirical exchange rate puzzles by focusing on three OECD economies (Australia, Canada, and New Zealand) where primary commodities constitute a significant share.

Commodity Currencies and Empirical Exchange Rate Puzzles by Rogoff Kenneth This paper re-examines empirical exchange rate puzzles by focusing on three OECD economies (Australia, Canada, and New Zealand) where primary commodities constitute a significant share of their exports.

This paper re-examines empirical exchange rate puzzles 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 U.S.

dollar price of their commodity exports (generally exogenous to these small economies) &#x;has a strong and Cited by: 9.

For commodity currencies, the average half-life of adjustment of the real exchange rate to its equilibrium with real commodity prices is about 10 months, which is much shorter-lived than Rogoff's () consensus estimate of the half-life of real exchange rate deviations from purchasing power parity of between 3 and 5 by: Commodity Currencies By Yu-chin Chen a and Kenneth Rogoff b October While our results by no means overturn the many existing exchange rate puzzles, we find that that commodity prices are a consistent and empirically reliable factor in empirical exchange rate.

We began by classifying our commodity currencies by exchange rate regime. As Table 2 shows, we do this first in terms of the IMF's de jure classification (which is based on the publicly stated commitment of the national authorities) and then in terms of a de facto classification proposed in a recent study by Carmen Reinhart and Kenneth Rogoff.

"Commodity Currencies and Empirical Exchange Rate Puzzles," IMF Working Papers 02/27, International Monetary Fund. & K. Rogoff, " Commodity Currencies and Empirical Exchange Rate Puzzles," DNB Staff Reports (discontinued) 76, Netherlands Central Bank.

When trading currencies, we are dealing with countries, and countries have interest example, between andthe Australian interest rate was higher than the US interest rate. Capital Flows and Exchange Rates: An Empirical Analysis * Gregorios Siourounis London Business School November 8, theory which suggests that currencies are as much influenced by capital flows as by current Most of the exchange rate puzzles concern countries with unrestricted commodity trade.

"Commodity Currencies and Empirical Exchange Rate Puzzles" Journal of International Economics, Vol. 60, pp. Full text of earlier Fund working paper (02/27).

Commodity Currencies and Empirical Exchange Rate Puzzles Prepared by Yu-chin Chen and Kenneth Rogoff1 February Abstract The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy.

Working Papers describe research in progress by the. Downloadable. This paper examines whether the real exchange rates of commodity-exporting countries and the real prices of their commodity exports move together over time.

Using IMF data on the world prices of 44 commodities and national commodity export shares, we construct new monthly indices of national commodity export prices for 58 commodity-exporting countries over "Commodity Currencies and Empirical Exchange Rate Puzzles," IMF Working Papers /, International Monetary Fund.

& K. Rogoff, " Commodity Currencies and Empirical Exchange Rate Puzzles," DNB Staff Reports (discontinued) 76, Netherlands Central Bank. Commodity Currencies and Empirical Exchange Rate Puzzles. By and K. Rogoff. Abstract. This paper re-examines empirical exchange rate puzzles 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. Commodity Currencies and Empirical Exchange Rate Puzzles. By Kenneth Rogoff and Yu-chin Chen. Abstract. This paper re-examines empirical exchange rate puzzles 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. View foreign exchange rates and use our currency exchange rate calculator for more than 30 foreign currencies. In the predictive model, we use the first log differences of exchange rates, (1) r t + 1 = log S t + 1 − log S t, where S t is the nominal exchange rate, quoted as the number of foreign currencies per unit US dollar.

Since the first order differences of exchange rates are employed, we actually do forecasting exercise with the data starting from February Get the latest commodity trading prices for oil, gold, silver, copper and more on the U.S.

commodities market and exchange at CNNMoney. Other currency commodity relationships can be found by looking for major producers of any export, as well as the major importers of the same commodity. The currency cross rate between the.

1. Introduction. We conduct an empirical analysis to shed light on the recent surge in prices of a broad range of commodities. The increase in commodity prices has coincided with relatively low real interest rates in general and a substantial decline in the value of the US dollar; see IMF () for evidence.

The surge in commodity prices is partly, if not predominantly, ascribed to the fall.It follows naturally from the fact that exchange rates are asset prices that embody expectations of future movements in macroeconomic fundamentals, specifically ones that will directly affect the exchange rates.

For commodity currencies, global commodity prices matter to their exchange rate values.Indeed, commodity prices are generally found to drive real exchange rate fluctuations in commodity-exporting countries (Chen and Rogoff, ; Cashin et al., ) and econometric models of real equilibrium exchange rates often include this series.