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Agricultural Commodity Prices and Exchange Rates under Structural Change

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  • Hatzenbuehler, Patrick L.
  • Abbott, Philip C.
  • Foster, Kenneth A.

Abstract

That exchange rates strongly influence agricultural commodity prices is a widely held belief. Observed divergences in price and exchange rate correspondence over time, however, have occasionally brought this conventional wisdom into doubt. We empirically test and find evidence to support hypotheses that key supply-use factors, such as low stocks and policy shifts, intermittently cause greater responsiveness of agricultural commodity prices to exchange rate changes because they give rise to more inelastic market demand. After accounting for these longrun effects, we also find that short-run price responsiveness to exchange rate changes is sometimes greater due to overshooting factors.
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Suggested Citation

  • Hatzenbuehler, Patrick L. & Abbott, Philip C. & Foster, Kenneth A., 2015. "Agricultural Commodity Prices and Exchange Rates under Structural Change," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 204728, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea15:204728
    DOI: 10.22004/ag.econ.204728
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    Cited by:

    1. Go, You-How & Lau, Wee-Yeap, 2024. "Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    2. Krzysztof Drachal, 2019. "Analysis of Agricultural Commodities Prices with New Bayesian Model Combination Schemes," Sustainability, MDPI, vol. 11(19), pages 1-23, September.
    3. Sun, Ting-Ting & Su, Chi-Wei & Mirza, Nawazish & Umar, Muhammad, 2021. "How does trade policy uncertainty affect agriculture commodity prices?," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    4. Kgothatso Nkgadima & Chiedza L. Muchopa, 2022. "Do Import Tariff Adjustments Bolster Domestic Production? Analysis of the South African-Brazilian Poultry Market Case," Economies, MDPI, vol. 10(12), pages 1-17, December.
    5. Yugay, Stanislav & Götz, Linde & Svanidze, Miranda, 2020. "Exchange Rate Pass-through and Wheat Prices in Russia," 60th Annual Conference, Halle/ Saale, Germany, September 23-25, 2020 305595, German Association of Agricultural Economists (GEWISOLA).
    6. Ting-Ting Sun & Chi-Wei Su & Ran Tao & Meng Qin, 2021. "Are Agricultural Commodity Prices on a Conventional Wisdom with Inflation?," SAGE Open, , vol. 11(3), pages 21582440211, August.
    7. Stanislav Yugay & Linde Götz & Miranda Svanidze, 2024. "Impact of the Ruble exchange rate regime and Russia's war in Ukraine on wheat prices in Russia," Agricultural Economics, International Association of Agricultural Economists, vol. 55(2), pages 384-411, March.
    8. Zhepeng Hu & Lei Yan, 2024. "Nonlinear responses of crude oil prices to the US dollar exchange rates: the role of inventories," Empirical Economics, Springer, vol. 66(4), pages 1491-1510, April.
    9. Fan, Jiaping & Anders, Sven & Qiu, Feng, . "Vertical Price Transmission in the Canadian Beef Industry: Does the Canada-US Exchange Rate Matter?," Estey Centre Journal of International Law and Trade Policy, Estey Centre for Law and Economics in International Trade, vol. 23(01).
    10. Pasrun Adam & Rosnawintang Rosnawintang & La Ode Saidi & La Tondi & La Ode Arsad Sani, 2018. "The Causal Relationship between Crude Oil Price, Exchange Rate and Rice Price," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 90-94.
    11. Anders, Sven & Fedoseeva, Svetlana, 2017. "Quality, Sourcing, and Asymmetric Exchange-Rate Pass-Through into U.S. Coffee Imports," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 42(3), September.
    12. Kenneth W. Clements & Jiawei Si & Hai Long Vo, 2023. "The Law of One Food Price," Open Economies Review, Springer, vol. 34(1), pages 195-216, February.
    13. Yugay, Stanislav & Götz, Linde & Svanidze, Miranda, "undated". "Exchange Rate Pass-through and Wheat Prices in Russia," 60th Annual Conference, Halle/ Saale, Germany, September 23-25, 2020 305595, German Association of Agricultural Economists (GEWISOLA).
    14. Tan Ngoc Vu & Chi Minh Ho & Thang Cong Nguyen & Duc Hong Vo, 2020. "The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach," Agriculture, MDPI, vol. 10(4), pages 1-14, April.

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    Keywords

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    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade

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