Template-Type: ReDIF-Article 1.0

Author-Name: Hildegart Ahumada 
Author-Workplace-Name: Universidad Torcuato Di Tella


Author-Name: Magdalena Cornejo
Author-Workplace-Name: Universidad Torcuato Di Tella

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


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.

Classification-JEL: F14, F41

Keywords: Dutch disease, commodity prices, real exchange rate, system
cointegration.
Journal: Económica

Pages: 3-33
Volume: 61
Year: 2015
Month: January-December
File-URL: https://revistas.unlp.edu.ar/Economica/article/view/5344/4373
File-Format: Application/pdf
Handle: RePEc:akh:journl:596