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Author Sahay, Ratna.

Title Keynes, Cocoa, and Copper [electronic resource] : In Search of Commodity Currencies / Ratna Sahay.

Published Washington, D.C. : International Monetary Fund, 2002.


Location Call No. Status
Physical description 1 online resource (63 p.)
Series IMF Working Papers; Working Paper ; No. 02/223
IMF Working Papers; Working Paper ; No. 02/223
Summary 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 countries over 1980-2002. A long-run relationship between real exchange rates and real commodity prices is found for about two-fifths of the commodity-exporting countries. Also, the behavior of the real exchange rate of commodity currencies is found to be independent of the nominal exchange rate regime. The average half-life of adjustment of real exchange rates to commodity-price-augmented purchasing power parity is found to be about eight months, which is much shorter than Rogoff's (1996) consensus estimate of three to five years, and provides an important missing piece of the PPP puzzle.
Notes Description based on print version record.
Other author C├ęspedes, Luis Felipe.
Cashin, Paul.
Sahay, Ratna.
Subject Developing Country
Exchange Rate
Exchange Rates
Open Economy Macroeconomics
Real Exchange Rate
Real Exchange Rates
ISBN 1451875304 : 15.00 USD
ISSN 1018-5941
Standard Number 10.5089/9781451875300.001