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Real Exchange Rates and Commodity Prices [electronic resource] Dupont, Dominique Yves.

Author/Creator:
Dupont, Dominique Yves.
Publication:
Washington, D.C. : International Monetary Fund, 1996.
Format/Description:
Government document
Book
1 online resource (66 p.)
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 96/27.
IMF Working Papers; Working Paper No. 96/27
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Local subjects:
Autocorrelation. (search)
Bilateral exchange rate. (search)
Bilateral exchange rates. (search)
Bilateral real exchange rate. (search)
Cointegration. (search)
Conditional expectation. (search)
Constant term. (search)
Descriptive statistics. (search)
Difference equation. (search)
Dollar-yen exchange rate. (search)
Dummy variables. (search)
Equation. (search)
Equations. (search)
Error variance. (search)
Exchange rate. (search)
Exchange rate changes. (search)
Exchange rate economics. (search)
Exchange rate regimes. (search)
Exchange rate volatility. (search)
Exchange rates. (search)
Exchange rates fluctuations. (search)
Financial statistics. (search)
Fluctuations in exchange rates. (search)
Forecasting. (search)
Graphical analysis. (search)
Independent variable. (search)
Independent variables. (search)
Kurtosis. (search)
Logarithm. (search)
Logarithms. (search)
Nominal exchange rates. (search)
Nonlinearity. (search)
Prediction. (search)
Random walk. (search)
Rate of change. (search)
Real exchange rate. (search)
Real exchange rates. (search)
Regression equation. (search)
Sampling. (search)
Significance level. (search)
Skewness. (search)
Standard deviation. (search)
Standard error. (search)
Stationary process. (search)
Statistics. (search)
Time series. (search)
Time series analysis. (search)
Japan. (search)
Thailand. (search)
United States. (search)
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Dupont, Dominique Yves.
Juan-Ramon, V. Hugo.
Other format:
Print Version:
ISBN:
1451844476:
9781451844474
ISSN:
1018-5941
Publisher Number:
10.5089/9781451844474.001
Access Restriction:
Restricted for use by site license.