Front Matter Page
Research Department
Contents
I. Introduction
II. Theoretical Framework
A. Domestic Production
B. Domestic Consumers
C. Foreign Production and Consumption
D. Real Exchange Rate Determination
III. Data
A. Real Exchange Rate
B. Real Commodity Price
C. Potential Commodity-Currency Countries
IV. Empirical Analysis of Comovement
A. Is There A Long-Run Relationship Between National Real Exchange Rates and Real Commodity Prices?
B. Cointegration Results and Long-Run Elasticity Estimates
C. Commodity Currencies—Are They Real Exchange Rate Targeters?
D. Exchange Rate Regimes and Commodity Currencies
E. Causality Tests
F. The PPP Puzzle and Commodity Currencies
V. Conclusions
References
Text Tables
1. Principal Commodity Exports and Share of Primary Commodities in Total Exports, 1990-99
2. Cointegration and Stability Tests, Real Exchange Rate and Real Commodity Prices, 1980-2002
3. Volatility of the Real Exchange Rate (REER) and Real Commodity Price (RCOMP), 1980-202
4. Volatility of Exchange Rates, Relative Prices and Real Output, 1980-2002
5. Causality Between Real Exchange Rate (REER) and Real Commodity Price Price (RCOMP) Using VEC Approach
Figures
1-10. Real Exchange Rate and Real Commodity Price, Commodity-Exporting Countries
11. Frequency Distribution of the Commodity Price Elasticity of the Real Exchange Rate
12. Half-Lives (in Months) of Reversion to PPP and Commodity-Augmented PPP, Commodity-Currency Countries
Appendices
I. Description of the Data
II. Construction of the Country-Specific Nominal Price Indices of Commodity Exports
III. Potential Commodity-Dependent Countries
IV. Cointegration Tests: Real Exchange Rate and Real Commodity Prices
Appendix Table
6. Potential Commodity-Currency Countries, by Region