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

Hildegart Ahumada () and Magdalena Cornejo

Económica, 2015, vol. 61, 3-33

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.

Keywords: Dutch disease; commodity prices; real exchange rate; system cointegration. (search for similar items in EconPapers)
JEL-codes: F14 F41 (search for similar items in EconPapers)
Date: 2015
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Journal Article: Long-run effects of commodity prices on the real exchange rate: evidence from Argentina (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:akh:journl:596

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