Nominal Exchange Rate Variation and World Commodity Price Variation: The Cases of Australia, Canada, and New Zealand

Pisut Kulthanavit () and Thanyakorn Bunnag ()
Additional contact information
Pisut Kulthanavit: Faculty of Economics, Thammasat University, Bangkok, 10200.
Thanyakorn Bunnag: Faculty of Economics, Thammasat University, Bangkok, 10200.

Applied Economics Journal, 2014, vol. 21, issue 2, 72-99

Abstract: World commodity prices have moved and fluctuated over time especially, the period 2000-2009. This paper examines the impact of Australia’s, Canada’s, and New Zealand’s nominal exchange rate variation on world commodity price variations in 1980-2012 and compare the impact between 1990-1999 and 2000-2009. This study employs a dynamic ordinary least square regression (DOLS) to estimate correlation coefficients that measure the volatility effects. The results show that in long-run (1980-2012), the Australian dollar, Canadian dollar, and New Zealand dollar variation raise the world commodity price variations for hard commodity which are fuel products and metal products while nominal exchange rate variation has various effects on the world commodity price variations for soft commodity which are grain products, forestry products, and livestock products. Moreover, comparison of the period 1990-1999 and the period 2000-2009 implies that exchange rate variation raises the world commodity price variations which almost price is hard commodity. Hence, the government of these hard commodities exporting countries should become aware of exchange rate variation and look after the variation because the variation causes income of export sector. In the case of developing countries, should consider exchange rate policy that impacts export sector and the economy along with give priority to future market development to be tools for absorb exchange rate variation risks.

Keywords: Exchange rate volatility; Commodity price variation (search for similar items in EconPapers)
JEL-codes: E3 F4 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.journal.eco.ku.ac.th/upload/document/thai/20150223090223.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aej:apecjn:v:21:y:2014:i:2:p:72-99

Access Statistics for this article

Applied Economics Journal is currently edited by Kampanat Pensupar

More articles in Applied Economics Journal from Kasetsart University, Faculty of Economics, Center for Applied Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Chatrat Hemmawat ().