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英文文献：Price Adjustment to the Exchange Rate Shock in World Commodity Markets-汇率冲击对世界商品市场的价格调整
英文文献作者：Hyeongwoo Kim,Jintae Kim
英文文献摘要：
We empirically investigate dynamic responses of 49 IMF primary commodity prices to the US dollar exchange rate shock using recursively identified vector autoregressive models. Our major empirical findings are as follows. First, price adjustments toward the new equilibrium tend to be gradual with a few exceptions. We propose and estimate two measures of price-stickiness, which provide strong evidence of short-run price rigidity in most commodities. Second, our dynamic elasticity analysis implies that price responses are quite heterogeneous even in the long-run. Some commodity prices over-adjust to the exchange rate shock, which implies higher volatility of those prices than that of the exchange rate. Third, for those commodities that over-adjust, prices in the rest of the world would rise significantly when the US dollar depreciates unexpectedly, suggesting a role for price stabilization policies.
我们采用递归识别向量自回归模型，实证研究了49种IMF初级商品价格对美元汇率冲击的动态响应。我们的主要实证结果如下。首先，向新均衡的价格调整往往是渐进的，只有少数例外。我们提出并估计了价格粘性的两个指标，这两个指标为大多数商品的短期价格刚性提供了有力证据。其次，我们的动态弹性分析表明，即使在长期内，价格反应也是相当异质性的。一些大宗商品价格对汇率冲击进行了过度调整，这意味着这些价格的波动性高于汇率的波动性。第三，对于那些调整过度的大宗商品，当美元意外贬值时，世界其他地区的价格将大幅上涨，这表明价格稳定政策将发挥作用。
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