| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25076 |
| 来源ID | Working Paper 25076 |
| Commodity Currencies and Monetary Policy | |
| Michael B. Devereux; Gregor W. Smith | |
| 发表日期 | 2018-09-24 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Countries that specialize in commodity exports often exhibit a correlation between the relevant commodity price and the value of their currency. We explore a natural but little-studied explanation for this correlation. An increase in the commodity price leads to increases in the future values of the international differential in policy interest rates. The tightening of expected future monetary policy relative to the US then leads to an immediate appreciation. We show theoretically that this correlation depends on the stance of monetary policy. We then derive a statistical model that embodies this mechanism and test the over-identifying restrictions for Australia, Canada, and New Zealand. For all three countries, controlling for the effect of commodity prices in predicting current and future monetary policy leaves them no significant, remaining role in statistically explaining exchange rates. |
| 主题 | Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w25076 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582749 |
| 推荐引用方式 GB/T 7714 | Michael B. Devereux,Gregor W. Smith. Commodity Currencies and Monetary Policy. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25076.pdf（311KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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