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- W153313391 abstract "This thesis examines causality and long-run relationships between nominal bilateralnexchange rates and the country-specified commodity price index. Different withnprevious literature, I use a robust Granger non-causality test to avoid pre-test biases andnspecified multivariate vector autoregressions to correct model misspecifications. Withnquarterly data from 1982Q3 to 2012Ql for three major commodity-exporting countries,nnamely Australia, Canada and New Zealand, and one major commodity net-importingncountry Japan, I find the exchange rate does Granger cause the commodity price indexnand also for the reversed direction. Evidence of the long-run relationship among thenexchange rate, the commodity price index and other macro-fundamentals is found fornall the four countries. Further results suggest that exchange rates for all the countriesnare persistent as they do not adjust to the equilibrium.n" @default.
- W153313391 created "2016-06-24" @default.
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- W153313391 date "2012-11-05" @default.
- W153313391 modified "2023-09-27" @default.
- W153313391 title "Exchange rates and commodity prices: an empirical investigation" @default.
- W153313391 hasPublicationYear "2012" @default.
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