{
  "title": "Keynes, Cocoa, and Copper: In Search of Commodity Currencies",
  "publication": "IMF Working Papers, December 1, 2002",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/keynes-cocoa-and-copper-in-search-of-commodity-currencies-16194",
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  "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.",
  "sections": [
    {
      "heading": "Summary and research question",
      "content": "- Examines whether the real exchange rates of commodity-exporting countries and the real prices of their commodity exports move together over time.\n- Constructs new monthly indices of national commodity export prices using IMF data on the world prices of 44 commodities and national commodity export shares for 58 countries over 1980-2002."
    },
    {
      "heading": "Data and methods",
      "content": "- Data sources: IMF data on world prices of 44 commodities and national commodity export shares.\n- Coverage: 58 countries; period 1980-2002.\n- Constructed monthly indices of national commodity export prices to test long-run relationships between real exchange rates and real commodity prices."
    },
    {
      "heading": "Key findings",
      "content": "- A long-run relationship between real exchange rates and real commodity prices is found for about two-fifths of the commodity-exporting countries.\n- The behavior of the real exchange rate of commodity currencies is found to be independent of the nominal exchange rate regime.\n- The average half-life of adjustment of real exchange rates to commodity-price-augmented purchasing power parity is found to be about eight months.\n- The estimated average half-life (about eight months) is much shorter than Rogoff’s (1996) consensus estimate of three to five years and is presented as providing an important missing piece of the PPP puzzle."
    },
    {
      "heading": "Themes and subjects addressed",
      "content": "- Commodity prices\n- Currencies\n- Exchange rate arrangements\n- Foreign exchange\n- Money\n- Prices\n- Purchasing power parity\n- Real effective exchange rates\n- Real exchange rates"
    },
    {
      "heading": "Keywords and regional focus",
      "content": "- Keywords: commodity currency; commodity export; commodity price; commodity prices; Currencies; developing country; Exchange rate; Exchange rate arrangements; export price datum; purchasing power parity; Real exchange rates; Sub-Saharan Africa; world commodity price; WP\n- Regional mentions include Sub-Saharan Africa among broader developing-country coverage.\n\nKeynes, Cocoa, and Copper: In Search of Commodity Currencies — Ratna Sahay; Luis Felipe Céspedes; Paul Cashin; December 1, 2002; DOI: https://doi.org/10.5089/9781451875300.001\n\n---\n\n Content in this bundle\n\n- Keynes, Cocoa, and Copper: In Search of Commodity Currencies - WP/02/223\n  - Keynes, Cocoa, and Copper: In Search of Commodity Currencies - WP/02/223 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Keynes, Cocoa, and Copper: In Search of Commodity Currencies - WP/02/223 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/keynes-cocoa-and-copper-in-search-of-commodity-currencies-16194"
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    "Authors: Ratna Sahay, Luis Felipe Céspedes, Paul Cashin",
    "Published: December 1, 2002",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451875300.001",
    "Examines whether the real exchange rates of commodity-exporting countries and the real prices of their commodity exports move together over time.",
    "Constructs new monthly indices of national commodity export prices using IMF data on the world prices of 44 commodities and national commodity export shares for 58 countries over 1980-2002.",
    "Data sources: IMF data on world prices of 44 commodities and national commodity export shares.",
    "Coverage: 58 countries; period 1980-2002.",
    "Constructed monthly indices of national commodity export prices to test long-run relationships between real exchange rates and real commodity prices.",
    "A long-run relationship between real exchange rates and real commodity prices is found for about two-fifths of the commodity-exporting countries.",
    "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.",
    "The estimated average half-life (about eight months) is much shorter than Rogoff’s (1996) consensus estimate of three to five years and is presented as providing an important missing piece of the PPP puzzle.",
    "Commodity prices",
    "Currencies",
    "Exchange rate arrangements",
    "Foreign exchange",
    "Money",
    "Prices",
    "Purchasing power parity",
    "Real effective exchange rates",
    "Real exchange rates",
    "Keywords: commodity currency; commodity export; commodity price; commodity prices; Currencies; developing country; Exchange rate; Exchange rate arrangements; export price datum; purchasing power parity; Real exchange rates; Sub-Saharan Africa; world commodity price; WP",
    "Regional mentions include Sub-Saharan Africa among broader developing-country coverage.",
    "**Keynes, Cocoa, and Copper: In Search of Commodity Currencies - WP/02/223**"
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