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

Year 2017, Volume: 17 Issue: 3, 323 - 336, 01.08.2017

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

References

  • Akram,Q.F. (2008) “Commodity Prices, Interest Rates and the Dollar”, Energy Economics, 31: 838–851
  • Baffes, J. (2007) “Oil Spills on other Commodities”, Resources Policy, 32: 126–134.
  • Bai, J. ve Perron, P. (1998) “ Estimating and Testing
  • Linear Models with Multiple Structural Changes”, Econometrica, 66 (1): 47-78. Bai, J. ve Perron, P. (2003) “ Computition and Analysis of Multiple Structural Change Models”, Journal of
  • Applied Econometrics, 18 (1): 1-22. Basher, S.A., Haug, A.A. ve Sadorsky, P. (2016) “The impact of Oil Shocks on Exchange Rates: A Markov
  • Switching Approach, Energy Economics, 54: 11–23. Beckmann, J. ve Czudaj, R. (2013) “ Oil Prices and Effective Dollar Exchange Rates”, International Review of Economics and Finance , 27: 621–636.
  • Bloomberg, S.B. ve Harris, E.S.(1995) “The Commodity
  • Consumer Prices Connection: Fact or Fable ?”, Federal Reserve Bank of New York Economic Policy Review, 3: –3 8 . Borensztein, E. ve Reinhart, C.M. (1994) “The
  • Macroeconomic Determinants of Commodityprices”, IMF Staff Papers, 41: 236–261. Carrion-i Silvestre, J.L., Kim, D. ve Perron, P. (2009) “
  • GLS-based Unit Root Tests with Multiple Structural Breaks under both Null and Alternative Hypotheses”, Econometric Theory, 25 (6): 1754-1792.
  • Chen, H., Liu, L., Wang,Y. ve Zhu,Y. (2016) “Oil Price
  • Shocks and U.S. Dollar Exchange Rates”, Energy, 112: 1048.
  • Coudert,V., Couharde, C. ve Mignon, V. (2013) “On the Impact of Oil Price Volatility on the Real Exchange
  • Rate-Terms of Trade Nexus: Revisiting Commodity Currencies, CEPII Working Paper, No: 40 December.. Doornik, J.A. ve Hansen, H. (2008) “An Omnibus Test for Univariate and Multivariate Normality”, Oxford
  • Bulletion of Economics and Statistics, 70: 927-939. Druck,P., Magud, N.S. ve Mariscal, R.(2015) “ Collateral
  • Damage: Dollar Strength and Emerging Markets’ Growth”, IMF Working Paper, No. 15/179. Engle, R.F. ve Granger, C.W.J. (1987) “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55: 251-276.
  • Fan, Y.ve Xu, J.H. (2011) “What has Driven Oil Prices since 2000 ? A Structural Change Perspective” Energy Economics, 33: 1082–1094.
  • Frank, J. ve Garcia, P. (2010) “How Strong are the Linkages among Agricultural, Oil, and Exchange Rate
  • Markets?” Proceedings of the NCCC- 134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis, MO. [http:// www.farmdoc.illinois.edu/nccc134]. Gilbert, C.L. (1989) “The Impact of Exchange Rates and Developing Country Debt on Commodity Prices”, Economic Journal, 99: 773–783.
  • Golub, S.S. (1983) “Oil Prices and Exchange Rates”, The Economic Journal, 93 (371): 576-593.
  • Hacker, R.S. ve Hatemi-J, A. (2005) “ A Multivariate Test for ARCH Effects”, Applied Economic Letters, 12:411
  • Hamilton, J.D. (2008) “ Understanding Crude Oil
  • Prices”, Energy Journal, 30: 179–206. Hatemi, J.A. (2012) “Asymmetric Causality Tests with an Application”, Empirical Economics, 43(1) : 1447-456.
  • Holtham, G.H. (1988) “Modeling Commodity Prices in a World Macroeconomic Model”, In:Guvenen, O. (Ed.),
  • International Commodity Market Models and Policy Analysis, Kluwer Academic Publishers, Boston Hussain, M., Zebende, G.F., Bashir, U. ve Donghonga, D. (2017) “Oil Price and Exchange Rate Co-Movements in Asian Countries: Detrended Cross-Correlation
  • Approach”, Physica A, 465: 338–346. IMF,World Economic Outlook, April 2008, “Housing and the Business Cycle”, https://www.imf.org/ external/pubs/ft/weo/2008/01/pdf/text.pdf (02.11.2016)
  • Ji, Q. ve Fan,Y. (2012) “ How does Oil Price Volatility
  • Affect Non-Energy Commodity Markets ? ” Applied Energy, 89: 273–280. Jiang, J. ve Gu, R. (2016) “Asymmetrical Long-Run
  • Dependence between Oil Price and US Dollar Exchange Rate-based on Structural Oil Shocks”, Physica A, 456: 75–89. Johansen, S. (1988) “Statistical Analysis of
  • Cointegration Vectors” , Journal of Economic Dynamics and Control, 12( 2–3) : 231–254. Krugman, P. (1983) “Oil and the Dollar in Economic
  • Interdependence and Flexible Exchange Rates”, the National Bureau of Economic Research Working Paper No: 554, MIT Press, Cambridge. Lim, E.G. (2006) “The Euro’s Challenge to the Dollar:
  • Different Views from Economists and Evidence from COFER (Currency Composition of Foreign Exchange Reserves) and Other Data”, IMF Working Paper, WP/ /153. Lin, F.L., Chen, Y.F. ve Yang, S.Y. (2016) “Does the Value of US Dollar matter with the Price of Oil and Gold?
  • A Dynamic Analysis from Time–Frequency Space”, International Review of Economics and Finance, 43, –71. Maki, D. (2012) “Tests for Cointegration Allowing for an Unknown Numberof Breaks”, Economic Modelling, : 2011-2015.
  • Nazlioglu, S. ve Soytas, U. (2012) “Oil Price,
  • Agricultural Commodity Prices, and the Dollar: A Panel Cointegration and Causality Analysis”, Energy Economics, 34: 1098–1104.
  • Phillips, P. C. B. ve Perron, P. (1988) “Testing for a Unit
  • Root in Time Series Regression”, Biometrica, 75 (:(2 –335. Reboredo, J.C. ve Ugando, M. (2014) “US Dollar
  • Exchange Rate and Food Price Dependence: Implications for Portfolio Risk Management”, North American Journal of Economics and Finance, 30: 72–89 Sari,R., Hammoudeh, S. ve Soytas, U. (2010) “ Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate” Energy Economics, 32: 351–362.
  • Truchis, G. ve Keddad, B. (2016) “On the Risk
  • Comovements between the Crude Oil Market and U.S. Dollar Exchange Rates”, Economic Modelling, 52, –215. Zhang, Y. (2013) “The Links between the Price of Oil and the Value of US Dollar”, International Journal of
  • Energy Economics and Policy, 3(4):341-351
  • Zhang, Y.J., Fan, Y. , Tsai, H.T. ve Wei, Y.M . (2008)
  • “Spillover Effect of US Dollar Exchange Rate on Oil Prices”, Journal of Policy Modeling, 30 (6): 973-991.

ABD Dolarının Emtia Fiyatları Üzerindeki Etkisinin İncelenmesi

Year 2017, Volume: 17 Issue: 3, 323 - 336, 01.08.2017

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

References

  • Akram,Q.F. (2008) “Commodity Prices, Interest Rates and the Dollar”, Energy Economics, 31: 838–851
  • Baffes, J. (2007) “Oil Spills on other Commodities”, Resources Policy, 32: 126–134.
  • Bai, J. ve Perron, P. (1998) “ Estimating and Testing
  • Linear Models with Multiple Structural Changes”, Econometrica, 66 (1): 47-78. Bai, J. ve Perron, P. (2003) “ Computition and Analysis of Multiple Structural Change Models”, Journal of
  • Applied Econometrics, 18 (1): 1-22. Basher, S.A., Haug, A.A. ve Sadorsky, P. (2016) “The impact of Oil Shocks on Exchange Rates: A Markov
  • Switching Approach, Energy Economics, 54: 11–23. Beckmann, J. ve Czudaj, R. (2013) “ Oil Prices and Effective Dollar Exchange Rates”, International Review of Economics and Finance , 27: 621–636.
  • Bloomberg, S.B. ve Harris, E.S.(1995) “The Commodity
  • Consumer Prices Connection: Fact or Fable ?”, Federal Reserve Bank of New York Economic Policy Review, 3: –3 8 . Borensztein, E. ve Reinhart, C.M. (1994) “The
  • Macroeconomic Determinants of Commodityprices”, IMF Staff Papers, 41: 236–261. Carrion-i Silvestre, J.L., Kim, D. ve Perron, P. (2009) “
  • GLS-based Unit Root Tests with Multiple Structural Breaks under both Null and Alternative Hypotheses”, Econometric Theory, 25 (6): 1754-1792.
  • Chen, H., Liu, L., Wang,Y. ve Zhu,Y. (2016) “Oil Price
  • Shocks and U.S. Dollar Exchange Rates”, Energy, 112: 1048.
  • Coudert,V., Couharde, C. ve Mignon, V. (2013) “On the Impact of Oil Price Volatility on the Real Exchange
  • Rate-Terms of Trade Nexus: Revisiting Commodity Currencies, CEPII Working Paper, No: 40 December.. Doornik, J.A. ve Hansen, H. (2008) “An Omnibus Test for Univariate and Multivariate Normality”, Oxford
  • Bulletion of Economics and Statistics, 70: 927-939. Druck,P., Magud, N.S. ve Mariscal, R.(2015) “ Collateral
  • Damage: Dollar Strength and Emerging Markets’ Growth”, IMF Working Paper, No. 15/179. Engle, R.F. ve Granger, C.W.J. (1987) “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55: 251-276.
  • Fan, Y.ve Xu, J.H. (2011) “What has Driven Oil Prices since 2000 ? A Structural Change Perspective” Energy Economics, 33: 1082–1094.
  • Frank, J. ve Garcia, P. (2010) “How Strong are the Linkages among Agricultural, Oil, and Exchange Rate
  • Markets?” Proceedings of the NCCC- 134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis, MO. [http:// www.farmdoc.illinois.edu/nccc134]. Gilbert, C.L. (1989) “The Impact of Exchange Rates and Developing Country Debt on Commodity Prices”, Economic Journal, 99: 773–783.
  • Golub, S.S. (1983) “Oil Prices and Exchange Rates”, The Economic Journal, 93 (371): 576-593.
  • Hacker, R.S. ve Hatemi-J, A. (2005) “ A Multivariate Test for ARCH Effects”, Applied Economic Letters, 12:411
  • Hamilton, J.D. (2008) “ Understanding Crude Oil
  • Prices”, Energy Journal, 30: 179–206. Hatemi, J.A. (2012) “Asymmetric Causality Tests with an Application”, Empirical Economics, 43(1) : 1447-456.
  • Holtham, G.H. (1988) “Modeling Commodity Prices in a World Macroeconomic Model”, In:Guvenen, O. (Ed.),
  • International Commodity Market Models and Policy Analysis, Kluwer Academic Publishers, Boston Hussain, M., Zebende, G.F., Bashir, U. ve Donghonga, D. (2017) “Oil Price and Exchange Rate Co-Movements in Asian Countries: Detrended Cross-Correlation
  • Approach”, Physica A, 465: 338–346. IMF,World Economic Outlook, April 2008, “Housing and the Business Cycle”, https://www.imf.org/ external/pubs/ft/weo/2008/01/pdf/text.pdf (02.11.2016)
  • Ji, Q. ve Fan,Y. (2012) “ How does Oil Price Volatility
  • Affect Non-Energy Commodity Markets ? ” Applied Energy, 89: 273–280. Jiang, J. ve Gu, R. (2016) “Asymmetrical Long-Run
  • Dependence between Oil Price and US Dollar Exchange Rate-based on Structural Oil Shocks”, Physica A, 456: 75–89. Johansen, S. (1988) “Statistical Analysis of
  • Cointegration Vectors” , Journal of Economic Dynamics and Control, 12( 2–3) : 231–254. Krugman, P. (1983) “Oil and the Dollar in Economic
  • Interdependence and Flexible Exchange Rates”, the National Bureau of Economic Research Working Paper No: 554, MIT Press, Cambridge. Lim, E.G. (2006) “The Euro’s Challenge to the Dollar:
  • Different Views from Economists and Evidence from COFER (Currency Composition of Foreign Exchange Reserves) and Other Data”, IMF Working Paper, WP/ /153. Lin, F.L., Chen, Y.F. ve Yang, S.Y. (2016) “Does the Value of US Dollar matter with the Price of Oil and Gold?
  • A Dynamic Analysis from Time–Frequency Space”, International Review of Economics and Finance, 43, –71. Maki, D. (2012) “Tests for Cointegration Allowing for an Unknown Numberof Breaks”, Economic Modelling, : 2011-2015.
  • Nazlioglu, S. ve Soytas, U. (2012) “Oil Price,
  • Agricultural Commodity Prices, and the Dollar: A Panel Cointegration and Causality Analysis”, Energy Economics, 34: 1098–1104.
  • Phillips, P. C. B. ve Perron, P. (1988) “Testing for a Unit
  • Root in Time Series Regression”, Biometrica, 75 (:(2 –335. Reboredo, J.C. ve Ugando, M. (2014) “US Dollar
  • Exchange Rate and Food Price Dependence: Implications for Portfolio Risk Management”, North American Journal of Economics and Finance, 30: 72–89 Sari,R., Hammoudeh, S. ve Soytas, U. (2010) “ Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate” Energy Economics, 32: 351–362.
  • Truchis, G. ve Keddad, B. (2016) “On the Risk
  • Comovements between the Crude Oil Market and U.S. Dollar Exchange Rates”, Economic Modelling, 52, –215. Zhang, Y. (2013) “The Links between the Price of Oil and the Value of US Dollar”, International Journal of
  • Energy Economics and Policy, 3(4):341-351
  • Zhang, Y.J., Fan, Y. , Tsai, H.T. ve Wei, Y.M . (2008)
  • “Spillover Effect of US Dollar Exchange Rate on Oil Prices”, Journal of Policy Modeling, 30 (6): 973-991.
There are 43 citations in total.

Details

Other ID JA63DB76BE
Journal Section Research Article
Authors

Önder Büberkökü This is me

Publication Date August 1, 2017
Published in Issue Year 2017 Volume: 17 Issue: 3

Cite

APA Büberkökü, Ö. (2017). The Impact of the US Dollar’s Movements on Commodity Prices. Ege Academic Review, 17(3), 323-336.
AMA Büberkökü Ö. The Impact of the US Dollar’s Movements on Commodity Prices. ear. August 2017;17(3):323-336.
Chicago Büberkökü, Önder. “The Impact of the US Dollar’s Movements on Commodity Prices”. Ege Academic Review 17, no. 3 (August 2017): 323-36.
EndNote Büberkökü Ö (August 1, 2017) The Impact of the US Dollar’s Movements on Commodity Prices. Ege Academic Review 17 3 323–336.
IEEE Ö. Büberkökü, “The Impact of the US Dollar’s Movements on Commodity Prices”, ear, vol. 17, no. 3, pp. 323–336, 2017.
ISNAD Büberkökü, Önder. “The Impact of the US Dollar’s Movements on Commodity Prices”. Ege Academic Review 17/3 (August 2017), 323-336.
JAMA Büberkökü Ö. The Impact of the US Dollar’s Movements on Commodity Prices. ear. 2017;17:323–336.
MLA Büberkökü, Önder. “The Impact of the US Dollar’s Movements on Commodity Prices”. Ege Academic Review, vol. 17, no. 3, 2017, pp. 323-36.
Vancouver Büberkökü Ö. The Impact of the US Dollar’s Movements on Commodity Prices. ear. 2017;17(3):323-36.