Testing the Present‐Value Model of the Exchange Rate with Commodity Currencies
研究了商品出口国货币汇率与商品价格的相关性，用加拿大、澳大利亚和新西兰的数据检验了基于现值货币模型的解释，发现控制货币政策预期后商品价格对汇率无显著额外解释力。
Abstract Countries that specialize in commodity exports often exhibit a correlation between the relevant commodity price and the value of their currency. We explore an explanation for this correlation based on the present‐value, monetary model of the exchange rate. An increase in the commodity price leads to an increase in the expected, future policy interest rate and so to an immediate appreciation. We test the model's over‐identifying restrictions for Canada, Australia, and New Zealand. There, controlling for the effect of commodity prices in predicting current and future monetary policy leaves those prices no significant, remaining role in statistically explaining exchange rates.