The impact of the US dollar on international agricultural prices

Grant Davies

No 334517, 97th Annual Conference, March 27-29, 2023, Warwick University, Coventry, UK from Agricultural Economics Society - AES

Abstract: A strong US dollar and high international commodity prices have characterised much of 2022. To some, this juxtaposition is strange given the observed historical relationship between the two. This paper uses some simple regression models to provide insights and then utilises nonlinear auto regressive distributed lag (NARDL) models to investigate the possibility of an asymmetric relationship between the US dollar and international food prices. A sizeable proportion of the historical changes in international food prices seem to be explained by changes in the value of the US dollar. Evidence for short-run asymmetry in the relationship is found. In the long-run, such asymmetry is rejected by two of the three regression models utilised and the “unit-elastic” association between the US dollar and international prices cannot be rejected at the aggregate ‘food price’ level. Across individual agricultural products there are however notable differences. The provisional econometric modelling suggests that (i) a stronger US dollar in 2022 put some significant downward pressure on international food prices and (ii) allowing for asymmetry can be important in capturing economic relationships.

Keywords: Demand and Price Analysis; International Development (search for similar items in EconPapers)
Pages: 13
Date: 2023-03
New Economics Papers: this item is included in nep-agr and nep-inv
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aesc23:334517

DOI: 10.22004/ag.econ.334517

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