## Keynes, Cocoa, and Copper: In Search of Commodity Currencies

_IMF Working Papers, December 1, 2002_

## Source details

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## Other formats

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## Bibliographic details
- Authors: Ratna Sahay, Luis Felipe Céspedes, Paul Cashin
- Published: December 1, 2002
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451875300.001

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### Summary and research question
- 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 and methods
- 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.

### Key findings
- 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.

### Themes and subjects addressed
- Commodity prices
- Currencies
- Exchange rate arrangements
- Foreign exchange
- Money
- Prices
- Purchasing power parity
- Real effective exchange rates
- Real exchange rates

### Keywords and regional focus
- 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 — Ratna Sahay; Luis Felipe Céspedes; Paul Cashin; December 1, 2002; DOI: https://doi.org/10.5089/9781451875300.001*

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## Content in this bundle

- **Keynes, Cocoa, and Copper: In Search of Commodity Currencies - WP/02/223**
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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/keynes-cocoa-and-copper-in-search-of-commodity-currencies-16194_