1 COMMODITY PRICE VOLATILITY ACROSS EXCHANGE RATE REGIMES

  • John T. Cuddington
  • Hong Liang
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Publication date
January 2003

Abstract

This paper documents a new “stylized fact ” regarding the relative price of primary commodities in terms of manufactured goods. Using alternative data sets covering the period from 1880 to 1996, this key relative price among two categories of tradable goods is shown to exhibit greater volatility under flexible-exchange rate regimes than fixed-exchange rate regimes. Implications of this finding for open-economy macro modeling are briefly discussed. Key words: commodity prices; price volatility; exchange rate regimes; time series model

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