Commodity Price Volatility Across Exchange Rate Regimes

John T. Cuddington and Hong Liang
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John T. Cuddington: Georgetown University
Hong Liang: Georgetown University

International Finance from EconWPA

Abstract: This paper documents a new "stylized fact" regarding commodity prices using alternative datasets covering the period from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the manufacturing unit value index, is higher under flexible-exchange rate regimes than fixed-exchange rate regimes. Furthermore, changes in exchange regime are associated with changes in the persistence of commodity price shocks. Implications of this finding for open-economy macro modeling are briefly discussed in the concluding section.

Keywords: Fixed/floating exchange rate regimes; Commodity Prices; Volatility; Time series models (search for similar items in EconPapers)
JEL-codes: F33 E3 C22 (search for similar items in EconPapers)
Date: 1998-02-25, Revised 1998-05-11
Note: Type of Document - MS Word 97; prepared on IBM PC; to print on HP; pages: 31 ; figures: included
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