Countries that specialize in commodity exports often exhibit a correlation between the relevant commodity price and the value of their currency. We explore an explanation for this correlation based on the present‐value, monetary model of the exchange rate. An increase in the commodity price leads to an increase in the expected, future policy interest rate and so to an immediate appreciation. We test the model's over‐identifying restrictions for Canada, Australia, and New Zealand. There, controlling for the effect of commodity prices in predicting current and future monetary policy leaves those prices no significant, remaining role in statistically explaining exchange rates.

中文翻译：

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用商品货币测试汇率现值模型

专门从事商品出口的国家通常在相关商品价格与其货币价值之间表现出相关性。我们基于汇率的现值货币模型探索这种相关性的解释。大宗商品价格上涨导致预期的，未来的政策利率上升，从而导致立即升值。我们测试了该模型对加拿大，澳大利亚和新西兰的过度识别限制。在那里，控制商品价格在预测当前和未来货币政策中的作用，使这些价格不再具有重要意义，而在统计上解释汇率方面仍然发挥着作用。