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Commodity Prices and Markets

Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects, such as inflation and low rates of economic growth. Commodity Prices and Markets advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim. The volume addresses three distinct subjects: the difficulties in forecasting commodity prices, the effects of exogenous commodity price shocks on the domestic economy, and the relationship between price shocks and monetary policy. The ability to forecast commodity prices is difficult but of great importance to businesses and governments, and this volume will be invaluable to professionals and policy makers interested in the field.

Table of Contents



Takatoshi Ito and Andrew K. Rose

I. Forecasting Currencies with Commodity Prices

1. Commodity Prices, Commodity Currencies, and Global Economic Developments

Jan J.J. Groen and Paolo A. Pesenti

Comment: Kalok Chan

Comment: Roberto S. Mariano

2. The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Future Markets

Kalok Chan, Yiuman Tse, and Michael Williams

Comment: Tokuo Iwaisako

Comment: Doo Yong Yang

II. Commodity Prices, the Terms of Trade, and Exchange Rates

3. Identifying the Relationship between Trade and Exchange Rate Volatility

Christian Broda and John Romalis

Comment: Chaiyasit Anuchitworawong

Comment: Mark M. Spiegel

4. The Consumption Terms of Trade and Commodity Prices

Martin Berka and Mario J. Crucini

Comment: Roberto S. Mariano

Comment: Mark M. Spiegel

III. “Pass-Through” of Commodity Prices to the General Price Level

5. Pass-Through of Oil Prices to Japanese Domestic Prices

Etsuro Shioji and Taisuke Uchino

Comment: Yuko Hashimoto

Comment: Donghyun Park

6. The Effects of Oil Price Changes on the Industry-Level Production and Prices in the United States and Japan

Ichiro Fukunaga, Naohisa Hirakata, and Nao Sudo

Comment: Francis T. Lui

Comment: Warwick J. McKibbin

7. Price Pass-Through, Household Expenditure, and Industrial Structure: The Case of Taiwan

Biing-Shen Kuo and Su-Ling Peng

Comment: Cayetano Paderanga Jr.

Comment: Arianto A. Patunru

IV. Macroeconomic Effects of Oil Prices

8. Oil and Macroeconomy: The Case of Korea

Junhee Lee and Joonhyuk Song

Comment: Tokuo Iwaisako

Comment: Mohamed Rizwan Habeeb Rahuman

9. Oil Shocks in a DSGE Model for the Korean Economy

Sungbae An and Heedon Kang

Comment: Warwick J. McKibbin

Comment: Pengfei Wang


Author Index

Subject Index

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