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  1. The role of market frictions on the price differential
    a search-theoretical approach
    Author: Chang, Chia-ying
    Published: [2012]
    Publisher:  School of Economics and Finance, Victoria University of Wellington, Wellington, N.Z

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10063/2064
    Series: SEF working paper ; 2012,04
    Subjects: Innovation; Innovationsdiffusion; Preisdifferenzierung; Imitationsstrategie; Suchtheorie; Theorie; Prices; Inventions
    Scope: Online-Ressource (1 electronic document (23 p., 540.6 Kb), ill., PDF file
    Notes:

    Archived by the National Library of New Zealand

    Title from PDF t.p. (viewed on Apr. 10, 2012)

    "March 2012"--Cover

    Hypertext links contained in the archived instances of this title are non-functional

    Includes bibliographical references (p. 19)
  2. Managing global growth risks and commodity price shocks
    vulnerabilities and policy challenges for low-income countries
    Published: 2012
    Publisher:  Intern. Monetary Fund, Washington, DC

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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9781616353773
    Series: Strategy, policy, and review department
    Subjects: Rohstoffpreis; Wirtschaftswachstum; Wirtschaftspolitik; Entwicklungsländer; Economic development; Prices
    Scope: XII, 73 S., graph. Darst.
    Notes:

    Bibliogr. S. 71 - 73

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  3. Managing global growth risks and commodity price shocks
    vulnerabilities and policy challenges for low-income countries
    Published: 2012

    As part of its work to help low-income countries manage volatility, the IMF has developed an analytical framework for assessing vulnerabilities and emerging risks that arise from changes in the external environment. This paper draws on the results of... more

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    As part of its work to help low-income countries manage volatility, the IMF has developed an analytical framework for assessing vulnerabilities and emerging risks that arise from changes in the external environment. This paper draws on the results of the first vulnerability exercise for low-income countries conducted by the IMF staff using this new framework. It focuses on the risks of a downturn in global growth and of further global commodity price shocks and discusses related policy challenges. Chapters review recent macroeconomic developments, including the spike in global commodity prices in early 2012; assess current risks and vulnerabilities, including how a sharp downturn in global growth and further commodity price shocks would affect low-income countries; and discuss policy challenges in the face of these risks and vulnerabilities

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781616353773
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    Series: Departmental paper ; 12/2
    Subjects: Entwicklung; Rohstoffpreis; Wirtschaftspolitik; Entwicklungsländer; Price Level; Deflation; Commodity Markets; Agriculture: Aggregate Supply and Demand Analysis; Fiscal Policy; Macroeconomics; Inflation; Commodity prices; Fiscal space; Commodity price shocks; Prices; Food prices; Fiscal policy
    Scope: Online-Ressource (PDF-Datei: XII, 73 S.), graph. Darst.
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    Parallel als Druckausg. erschienen
  4. Crop returns, prices, credit and poverty in Lao-PDR
    Author: Annim, Samuel; Gaiha, Raghav
    Published: 2012
    Publisher:  Brooks World Poverty Institute, Manchester

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781907247699
    Series: BWPI working papers ; 170
    Subjects: Poverty; Returns on rice and other crops; Prices; Credit; Value chains
    Scope: Online-Ressource (PDF-Datei: 24 S.), graph. Darst.
  5. The exchange rate pass-through to import and export prices
    the role of nominal rigidities and currency choice
    Author: Choudhri, Ehsan U.; Hakura, Dalia S.
    Published: 2012; ©2012
    Publisher:  Internat. Monetary Fund, Washington, DC

    Using both regression- and VAR-based estimates, the paper finds that the exchange rate pass-through to import prices for a large number of countries is incomplete and larger than the pass-through to export prices. Previous studies have reported... more

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    Using both regression- and VAR-based estimates, the paper finds that the exchange rate pass-through to import prices for a large number of countries is incomplete and larger than the pass-through to export prices. Previous studies have reported similar results, which give rise to the puzzle that while local currency pricing is needed to account for incomplete import price pass-through, it would not imply a lower export price pass-through. Recent explanations of this puzzle have emphasized markup adjustment in response to exchange rate changes. This paper suggests an alternative explanation bas

     
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    Volltext (lizenzpflichtig)
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781475510232; 9781475580617
    Series: IMF working paper ; 12/226
    IMF Working Papers
    Subjects: Exchange Rate Pass-Through; Außenhandelspreis; Exchange rate pass-through; Prices; Exchange rate pass-through; Prices; Electronic books
    Scope: Online-Ressource (PDF-Datei: 33 S., 1,048 KB), graph. Darst.
    Notes:

    "September 2012

    Includes bibliographical references

    Electronic reproduction; Available via World Wide Web

    Cover; Contents; I. Introduction; II. Empirical Evidence; III. The Model; A. Basic Setup; B. Key Relations; IV. Quantitative Analysis; A. Key Determinants of the Pass-Through to Trade Prices; B. Currency of Invoicing and the Pass-Through; V. Concluding Remarks; References; Tables; 1. OLS Regressions: Impact of Exchange Rate Changes on Trade Prices, 1979-2010; 2. VAR: First Quarter Trade Price Response to a One Percent Change in the Exchange Rate, 1979-2010; 3. Pass-Through Elasticities for Different Shocks

    4. Wage-Price Stickiness, Exchange Rate Persistence, Inflation Reaction and the Pass-Through5. Stochastic Simulations; 6. Invoicing Currency Shares and the Pass-Through; Figures; 1. Regression and VAR Estimates of the Pass-Through; 2. Impulse Response Functions; 3. PCP Shares and the Pass-Through; Appendix Tables; 1. VAR: First Quarter Trade Price Response to a One Percent Change in the Exchange Rate 1985-1997; 2. VAR: First Quarter Trade Price Response to a One Percent Change in the Exchange Rate 1998-2010
  6. Optimal oil production and the world supply of oil
    Author: Aleksandrov, Nikolay; Espinoza, Raphael; Gyurkó, Lajos
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to... more

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    We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserves. Optimal extraction in the baseline model is found to be volatile. If the oil producer is risk averse, production is more stable, but spare capacity is much higher than what is typically observed. We show that decisions are very sensitive to expectations on the equilibrium oil price using a mean reverting model of the oil price where the equilibrium price is also a random variable. Oil production was cut during the 2008–2009 crisis, and we find that the cut in production was larger for OPEC, for countries facing a lower discount rate, as predicted by the model, and for countries whose governments’ finances are less dependent on oil revenues. However, the net present value of a country’s oil reserves would be increased significantly (by 100 percent, in the most extreme case) if production was cut completely when prices fall below the country's threshold price. If several producers were to adopt such strategies, world oil prices would be higher but more stable

     
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  7. The global impact of the systemic economies and MENA business cycles
    Author: Cashin, Paul A.; Mohaddes, Kamiar; Raissi, Mehdi
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper analyzes spillovers from macroeconomic shocks in systemic economies (China, the Euro Area, and the United States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf Cooperation... more

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    This paper analyzes spillovers from macroeconomic shocks in systemic economies (China, the Euro Area, and the United States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf Cooperation Council (GCC) countries and MENA oil exporters to the rest of the world. This analysis is based on a Global Vector Autoregression (GVAR) model, estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Spillovers are transmitted across economies via trade, financial, and commodity price linkages. The results show that the MENA countries are more sensitive to developments in China than to shocks in the Euro Area or the United States, in line with the direction of evolving trade patterns and the emergence of China as a key driver of the global economy. Outward spillovers from the GCC region and MENA oil exporters are likely to be stronger in their immediate geographical proximity, but also have global implications

     
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  8. Measures of fiscal risk in hydrocarbon-exporting countries
    Author: Caceres, Carlos; Medina, Leandro
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, medium-term risks remain high. Fiscal... more

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    The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, medium-term risks remain high. Fiscal vulnerabilities have increased as a consequence of the substantial spending packages that have been implemented in recent years. This has raised break-even prices—that is, the price levels that ensure that fiscal accounts are in balance at a given level of spending—in these countries. This study analyses such risks and develops measures of fiscal risk stemming from oil price fluctuations. An empirical application to hydrocarbon-exporting countries from the Middle East and North Africa region is included. Additionally, it is noted that countries with large net assets and proven oil reserves are much less vulnerable to fiscal risk than is indicated by standard measures based on break-even prices

     
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  9. Oil and the world economy
    some possible futures
    Author: Kumhof, Michael; Muir, Dirk
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper, using a six-region DSGE model of the world economy, assesses the GDP and current account implications of permanent oil supply shocks hitting the world economy at an unspecified future date. For modest-sized shocks and conventional... more

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    This paper, using a six-region DSGE model of the world economy, assesses the GDP and current account implications of permanent oil supply shocks hitting the world economy at an unspecified future date. For modest-sized shocks and conventional production technologies the effects are modest. But for larger shocks, for elasticities of substitution that decline as oil usage is reduced to a minimum, and for production functions in which oil acts as a critical enabler of technologies, GDP growth could drop significantly. Also, oil prices could become so high that smooth adjustment, as assumed in the model, may become very difficult

     
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  10. Performance of publicly listed Chilean firms during the 2008 – 09 global financial crisis
    Author: Wu, Yi
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper examines publicly listed Chilean firms’ performance during the 2008–09 crisis. In particular, it studies the effects from changes in external financing conditions, aggregate demand, and international trade on firms’ investment, sales, and... more

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    This paper examines publicly listed Chilean firms’ performance during the 2008–09 crisis. In particular, it studies the effects from changes in external financing conditions, aggregate demand, and international trade on firms’ investment, sales, and profits, using firm-specific characteristics measured prior to the crisis. The evidence suggests that the crisis had a larger negative impact on firms with greater reliance on external financing, and firms with higher sensitivity to aggregate demand and exports. Firms with more foreign currency debt also had larger declines in sales, although their investment or profits did not differ significantly from other firms

     
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  11. The differential effects of oil demand and supply shocks on the global economy
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study... more

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    We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output

     
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  12. Exploring the dynamics of global liquidity
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial... more

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    This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial intermediatires and a corresponding price series. Using price and quantity indicators simultaneously, it is possible to distinguish between shocks to the supply and demand for global liquidity, and isolate their impact on the economy. Our results confirm that global liquidity conditions matter for economic and financial stability, and points to indicators whose regular monitoring could be valuable to policymakers

     
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  13. Commodity prices and exchange rate volatility
    lessons from South Africa’s capital account liberalization
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price... more

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    We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of its capital account

     
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  14. Global commodity prices, monetary transmission, and exchange rate pass-through in the Pacific Islands
    Author: Peiris, Shanaka J.; Ding, Ding
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    Pacific Islands countries are vulnerable to commodity price shocks, and this poses challenges to monetary policy. The high degree of exchange rate pass-through to headline inflation and the weak monetary transmission mechanism in PICs suggest a... more

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    Pacific Islands countries are vulnerable to commodity price shocks, and this poses challenges to monetary policy. The high degree of exchange rate pass-through to headline inflation and the weak monetary transmission mechanism in PICs suggest a greater efficacy of exchange rate changes in affecting inflation rather than monetary policy. To assess the tradeoff between the use of the exchange rate and monetary policy in macroeconomic stabilization, we employ a model-based approach to examine the optimal policy in response to the historical distribution of exogenous shocks in a Pacific Island (Tonga). The empirical evidence and model simulations tilt in the favor of exchange rate policy given the close relationship between exchange rate changes and headline inflation and the low interest rate sensitivity of aggregate demand

     
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  15. Managing global growth risks and commodity price shocks
    vulnerabilities and policy challenges for low-income countries
    Published: 2012

    As part of its work to help low-income countries manage volatility, the IMF has developed an analytical framework for assessing vulnerabilities and emerging risks that arise from changes in the external environment. This paper draws on the results of... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    As part of its work to help low-income countries manage volatility, the IMF has developed an analytical framework for assessing vulnerabilities and emerging risks that arise from changes in the external environment. This paper draws on the results of the first vulnerability exercise for low-income countries conducted by the IMF staff using this new framework. It focuses on the risks of a downturn in global growth and of further global commodity price shocks and discusses related policy challenges. Chapters review recent macroeconomic developments, including the spike in global commodity prices in early 2012; assess current risks and vulnerabilities, including how a sharp downturn in global growth and further commodity price shocks would affect low-income countries; and discuss policy challenges in the face of these risks and vulnerabilities

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781616353773
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    Series: Departmental paper ; 12/2
    Subjects: Entwicklung; Rohstoffpreis; Wirtschaftspolitik; Entwicklungsländer; Price Level; Deflation; Commodity Markets; Agriculture: Aggregate Supply and Demand Analysis; Fiscal Policy; Macroeconomics; Inflation; Commodity prices; Fiscal space; Commodity price shocks; Prices; Food prices; Fiscal policy
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    Parallel als Druckausg. erschienen
  16. The effects of monetary policy on prices in Malawi
    Author: Mangani, Ronald
    Published: 2012
    Publisher:  AERC, Nairobi, Kenya

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789966023292
    Series: AERC Research Paper / African Economic Research Consortium, Nairobi ; 252
    Subjects: Preis; Geldpolitik; Malawi; Monetary policy; Prices
    Scope: Online-Ressource (66 S.)
  17. Optimal oil production and the world supply of oil
    Author: Aleksandrov, Nikolay; Espinoza, Raphael; Gyurkó, Lajos
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to... more

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    Orient-Institut Beirut
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    We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserves. Optimal extraction in the baseline model is found to be volatile. If the oil producer is risk averse, production is more stable, but spare capacity is much higher than what is typically observed. We show that decisions are very sensitive to expectations on the equilibrium oil price using a mean reverting model of the oil price where the equilibrium price is also a random variable. Oil production was cut during the 2008–2009 crisis, and we find that the cut in production was larger for OPEC, for countries facing a lower discount rate, as predicted by the model, and for countries whose governments’ finances are less dependent on oil revenues. However, the net present value of a country’s oil reserves would be increased significantly (by 100 percent, in the most extreme case) if production was cut completely when prices fall below the country's threshold price. If several producers were to adopt such strategies, world oil prices would be higher but more stable

     
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  18. The global impact of the systemic economies and MENA business cycles
    Author: Cashin, Paul A.; Mohaddes, Kamiar; Raissi, Mehdi
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper analyzes spillovers from macroeconomic shocks in systemic economies (China, the Euro Area, and the United States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf Cooperation... more

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    This paper analyzes spillovers from macroeconomic shocks in systemic economies (China, the Euro Area, and the United States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf Cooperation Council (GCC) countries and MENA oil exporters to the rest of the world. This analysis is based on a Global Vector Autoregression (GVAR) model, estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Spillovers are transmitted across economies via trade, financial, and commodity price linkages. The results show that the MENA countries are more sensitive to developments in China than to shocks in the Euro Area or the United States, in line with the direction of evolving trade patterns and the emergence of China as a key driver of the global economy. Outward spillovers from the GCC region and MENA oil exporters are likely to be stronger in their immediate geographical proximity, but also have global implications

     
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  19. Measures of fiscal risk in hydrocarbon-exporting countries
    Author: Caceres, Carlos; Medina, Leandro
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, medium-term risks remain high. Fiscal... more

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    The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, medium-term risks remain high. Fiscal vulnerabilities have increased as a consequence of the substantial spending packages that have been implemented in recent years. This has raised break-even prices—that is, the price levels that ensure that fiscal accounts are in balance at a given level of spending—in these countries. This study analyses such risks and develops measures of fiscal risk stemming from oil price fluctuations. An empirical application to hydrocarbon-exporting countries from the Middle East and North Africa region is included. Additionally, it is noted that countries with large net assets and proven oil reserves are much less vulnerable to fiscal risk than is indicated by standard measures based on break-even prices

     
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  20. Oil and the world economy
    some possible futures
    Author: Kumhof, Michael; Muir, Dirk
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper, using a six-region DSGE model of the world economy, assesses the GDP and current account implications of permanent oil supply shocks hitting the world economy at an unspecified future date. For modest-sized shocks and conventional... more

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    This paper, using a six-region DSGE model of the world economy, assesses the GDP and current account implications of permanent oil supply shocks hitting the world economy at an unspecified future date. For modest-sized shocks and conventional production technologies the effects are modest. But for larger shocks, for elasticities of substitution that decline as oil usage is reduced to a minimum, and for production functions in which oil acts as a critical enabler of technologies, GDP growth could drop significantly. Also, oil prices could become so high that smooth adjustment, as assumed in the model, may become very difficult

     
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  21. Performance of publicly listed Chilean firms during the 2008 – 09 global financial crisis
    Author: Wu, Yi
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper examines publicly listed Chilean firms’ performance during the 2008–09 crisis. In particular, it studies the effects from changes in external financing conditions, aggregate demand, and international trade on firms’ investment, sales, and... more

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    This paper examines publicly listed Chilean firms’ performance during the 2008–09 crisis. In particular, it studies the effects from changes in external financing conditions, aggregate demand, and international trade on firms’ investment, sales, and profits, using firm-specific characteristics measured prior to the crisis. The evidence suggests that the crisis had a larger negative impact on firms with greater reliance on external financing, and firms with higher sensitivity to aggregate demand and exports. Firms with more foreign currency debt also had larger declines in sales, although their investment or profits did not differ significantly from other firms

     
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  22. The differential effects of oil demand and supply shocks on the global economy
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study... more

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    We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output

     
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  23. Exploring the dynamics of global liquidity
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial... more

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    This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial intermediatires and a corresponding price series. Using price and quantity indicators simultaneously, it is possible to distinguish between shocks to the supply and demand for global liquidity, and isolate their impact on the economy. Our results confirm that global liquidity conditions matter for economic and financial stability, and points to indicators whose regular monitoring could be valuable to policymakers

     
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  24. Commodity prices and exchange rate volatility
    lessons from South Africa’s capital account liberalization
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price... more

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    We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of its capital account

     
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  25. Global commodity prices, monetary transmission, and exchange rate pass-through in the Pacific Islands
    Author: Peiris, Shanaka J.; Ding, Ding
    Published: 2012
    Publisher:  International Monetary Fund, Washington, D.C

    Pacific Islands countries are vulnerable to commodity price shocks, and this poses challenges to monetary policy. The high degree of exchange rate pass-through to headline inflation and the weak monetary transmission mechanism in PICs suggest a... more

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    Pacific Islands countries are vulnerable to commodity price shocks, and this poses challenges to monetary policy. The high degree of exchange rate pass-through to headline inflation and the weak monetary transmission mechanism in PICs suggest a greater efficacy of exchange rate changes in affecting inflation rather than monetary policy. To assess the tradeoff between the use of the exchange rate and monetary policy in macroeconomic stabilization, we employ a model-based approach to examine the optimal policy in response to the historical distribution of exogenous shocks in a Pacific Island (Tonga). The empirical evidence and model simulations tilt in the favor of exchange rate policy given the close relationship between exchange rate changes and headline inflation and the low interest rate sensitivity of aggregate demand

     
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