The Impact of the US Dollar’s Movements on Commodity Prices

Abstract

In this study both the long- and short-term impacts of the US dollar’s exchange rate movements on commodity prices are examined. Commodities such as food (including cereal, vegetable oils, meat, seafood, sugar, and fruit), beverages (including coffee, tea, and cocoa), metals (including aluminium, iron ore, tin, nickel, zinc, lead, and uranium), fuel energy (including crude oil, natural gas, and coal), crude oil (including simple avareges of Brent, WTI and Dubai fateh) and agriculture (including timber, cotton, wool rubber, and hides) are considered. The longterm impact of the US dollar on commodity prices is investigated using Maki’s (2012) cointegration test, which allows multiple regime shifts, and the short-term effect is examined using Hatemi-J’s (2012) asymmetric causality test. Furthermore, in order to determine the integration order of the series, Carrion-i Silvestre et al.’s (2009) unit root test with multiple structural breaks is used, and Bai and Perron’s (1998, 2003) test is applied to determine whether or not models have regime shifts. Results show that there is an inverse long-term relationship between the US dollar and food, fuel, and energy commodity prices. In other words, an increase in the US dollar causes a decrease in the price of food, fuel, and crude oil commodities in the long run. And it is observed that this effect is more dominant especially in fuel and crude oil commodity prices. Additionally, asymmetric causality test results show that US dollar appreciation causes a decrease in all commodity prices under investigation, however US dollar depreciation causes an increase only in the price of fuel, crude oil, and agricultural commodities. This means that in the short run the impact the appreciating dollar has on commodity prices is stronger than that of the depreciating dollar

Keywords

• US Dollar, Commodity prices, Multiple structural breaks, Asymmetric causality test

ABD Dolarının Emtia Fiyatları Üzerindeki Etkisinin İncelenmesi

Abstract

Bu çalışmada emtia piyasalarındaki fiyat hareketlerinin açıklanmasında ABD dolarının küresel bazdaki değeri üzerinde durulmuştur. ABD dolarını temsilen geniş tanımlı reel efektif ABD dolar endeksi (Broad dollar index) kullanılmıştır. Emtia olarak IMF tarafından yayınlanan gıda, içecek, metal, yakıt, petrol ve tarımsal emtia fiyat endeksleri kullanılmıştır. Değişkenler arasındaki uzun dönemli ilişki analizinde Johansen (1988) koentagrasyon testi ile Maki (2012) çoklu yapısal kırılmalı koentegrasyon testinden yararlanılmıştır. Çalışmada kullanılan serilerin ve modellerin yapısal değişimler içerip içermediği ise Bai ve Perron (1998,2003) testi ile incelenmiştir. Serilerin durağanlık özelliklerinin incelenmesinde ise Carrion-i Silvestre vd. (2009) çoklu yapısal kırılmalı birim kök testinden yararlanılmıştır. Kısa dönemli ilişki analizinde ise Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik testi kullanılmıştır. Çalışma bulguları ABD doları ile gıda, yakıt ve petrol emtiaları arasında ters yönlü uzun dönemli bir ilişki olduğuna işaret etmektedir. Uzun dönemde ABD dolarının %1 değer kazanmasının ilgili emtiaların fiyatında sırasıyla %0.44, %1 ve %1.3’lük bir azalışa yol açtığı görülmektedir. ABD doları ile metal, içecek ve tarımsal emtia endeksleri arasında ise herhangi bir uzun dönemli ilişkiye rastlanmamıştır. Kısa dönemli ilişki analizi sonuçlarına bakıldığında ise Hatemi-J (2012) asimetrik nedensellik testi sonuçlarına göre ABD dolarının değer kaybetmesi sadece yakıt, ham petrol ve tarımsal emtia fiyatlarının yükselmesine yol açarken ABD dolarının değer kazanması inceleme kapsamındaki tüm emtiaların fiyatlarının düşmesine yol açmaktadır. Dolayısıyla, kısa dönemde ABD dolarının değer kaybetmesinden ziyade değer kazanmasının emtia fiyatları üzerinde daha fazla etkili olduğu anlaşılmaktadır

Keywords

• ABD Doları, Emtia Fiyatları, Çoklu yapısal kırılmalar, Asimetrik nedensellik testi

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