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Long-run effects of commodity prices on the real exchange rate: evidence from Argentina

Author

Listed:
  • Hildegart Ahumada

    (Universidad Torcuato Di Tella)

  • Magdalena Cornejo

    (Universidad Torcuato Di Tella)

Abstract

The last commodity boom seems to have been a blessing for many commodity-export countries like Argentina, but it may have also had important effects on the exchange rate and economic structure. We develop a cointegration system approach to study a transmission mechanism of commodity prices on the exchange rate. We focus on their relationships with agricultural exports and also with oil imports. The system approach allows us to obtain consistent estimates of long-run effects taking into account possible interactions and testing exogeneity. We found that a rise in commodity prices appreciates the exchange rate when controlling by domestic determinants.

Suggested Citation

  • Hildegart Ahumada & Magdalena Cornejo, 2015. "Long-run effects of commodity prices on the real exchange rate: evidence from Argentina," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 61, pages 3-33, January-D.
    • Handle: RePEc:akh:journl:596
    as

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    File URL: https://revistas.unlp.edu.ar/Economica/article/view/5344/4373
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    References listed on IDEAS

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    1. Roberto Frenkel & Martin Rapetti, 2012. "External Fragility or Deindustrialization: What is the Main Threat to Latin American Countries in the 2010s?," World Economic Review, World Economics Association, vol. 2012(1), pages 1-37, September.
    2. Brunnschweiler, Christa N. & Bulte, Erwin H., 2008. "The resource curse revisited and revised: A tale of paradoxes and red herrings," Journal of Environmental Economics and Management, Elsevier, vol. 55(3), pages 248-264, May.
    3. Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
    4. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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    Cited by:

    1. Wanling Huang & André Varella Mollick & Khoa Huu Nguyen, 2017. "Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar," Empirical Economics, Springer, vol. 53(3), pages 959-997, November.

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    More about this item

    Keywords

    Dutch disease; commodity prices; real exchange rate; system cointegration.;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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