Got milk? The effect of export price shocks on exchange rates

IF 3.8 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2025-03-24 DOI:10.1016/j.jinteco.2025.104080

Hillary Stein

引用次数: 0

Abstract

I examine the effect of exogenous terms of trade shocks on an exchange rate by turning to New Zealand’s dairy auctions. Dairy is New Zealand’s largest export category, making up almost 20 percent of exports. Specifically, whole milk powder accounts for 6 to 11 percent of total exports, and its price is determined in twice-monthly auctions. I use event studies to quantify the impact of surprise auction results on the New Zealand dollar on a high-frequency basis. I find that a 1 percent surprise increase in whole milk powder prices has a modest, but nevertheless significant, effect on the nominal exchange rate. The methodology developed here can potentially be applied to other commodity exporters.

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有牛奶吗?出口价格冲击对汇率的影响

我以新西兰的乳制品拍卖为例，研究了外生贸易条件冲击对汇率的影响。乳制品是新西兰最大的出口类别，占出口的近20%。具体来说，全脂奶粉占出口总额的6%至11%，其价格由每月两次的拍卖决定。我使用事件研究来量化意外拍卖结果对新西兰元的高频影响。我发现，全脂奶粉价格意外上涨1%，对名义汇率的影响不大，但却很显著。这里制定的方法可能适用于其他大宗商品出口国。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.