Research On The Effects Of Pass-Through From Commodity Currency Exchange Rate To International Commodity Price

With the rapid development of our national economy， the demand of internationalcommodity is dramatically increasing. The prices of international commodity affect theeconomic development of our country from multiple approaches. It is necessary for us tounderstand and grasp the rule of commodity prices. Then during the nearly ten years, theinternational commodity prices generally continued to rise, with intense fluctuation.Coincidentally, commodity currencies went strong overall with concussion. Especially after thefinancial crisis in2008, commodity currencies took the lead in strong when other currenciesremained depressed, which attracted the intense attention of people. In order to grasp theinternational commodity price rule better, this article, from the angle of commodity currency,studies the exchange rate pass-through of the commodity currency exchange rate to internationalcommodity price with exchange rate transmission theory as the foundation. And we research itby combining theoretical analysis and empirical research methods.In the empirical part, based on previous research methods, we take the Canadian dollars asan example with the2002to2011ten years of monthly data. And we use the empirical methodssuch as Granger causality test, Cointegration test, Vector error correction model and Impulseresponse function based on VAR model and so on. This article researches the exchange ratepass-through of the commodity currency exchange rate to international commodity price fromlong-term and short-term aspects with Canadian as the representative of the commoditycurrencies. The empirical results show that: there is long-term balanced relation between theexchange rate of Canadian dollar and the international commodity price.And we also find thatthe exchange rate of Canadian dollar Granger-cause commodity prices, and it is not correct inthe opposite direction. In the long term, the transfer coefficient of the Canadian dollar exchangerate to international commodity price is-0.82.And in the short term, the transmission effect ofthe Canadian dollar exchange rate to international commodity price is not apparent, until in theseventh period lag,transfer effect achieves the greatest degree. But transmission effect haslonger duration, presumably for about two years. Finally according to the conclusions, we givesome suggestions about commodity investment for the enterprises and the economic policy forour country.