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英文文献：Investigating Properties of Commodity Price Responses to Real and Nominal Shocks-研究商品价格对实际和名义冲击的反应特性
英文文献作者：Hyeongwoo Kim,Yunxiao Zhang
英文文献摘要：
This paper studies dynamic adjustments of 49 world commodity prices in response to innovations in the nominal exchange rate and the world real GDP. After we estimate the dynamic elasticity of the prices with respect to these shocks, we obtain the kernel density of our estimates to establish stylized facts on the adjustment process of the commodity price toward a new equilibrium path. Our empirical findings imply, on average, that the law of one price holds in the long-run, whereas the substantial degree of short-run price rigidity was observed in response to the nominal exchange rate shock. The real GDP shock tends to generate substantial price fluctuations in the short-run because adjustments of the supply can be limited, but have much weaker effects in the long-run as the supply eventually counterbalances the increase in the demand. Overall, we report persistent long-lasting effects of the nominal exchange rate shock on commodity prices relative to those of the real GDP shock.
摘要本文研究了49种世界商品价格在名义汇率和世界实际GDP创新下的动态调整。在估计了价格对这些冲击的动态弹性之后，我们得到了估计的核密度，从而建立了关于商品价格向新的均衡路径调整过程的程式化事实。我们的经验发现表明，平均而言，单一价格定律在长期内是成立的，而短期价格刚性的实质程度是对名义汇率冲击的反应。实际的国内生产总值冲击往往会在短期内造成巨大的价格波动，因为对供应的调整是有限的，但在长期内，由于供应最终会抵消需求的增长，其影响要弱得多。总体而言，我们报告了相对于实际GDP冲击而言，名义汇率冲击对商品价格的持久影响。
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