Skip to Main content Skip to Navigation
Journal articles

Energy prices and the real exchange rate of commodity-exporting countries

Magali Dauvin 1 
Abstract : This paper investigates the relationship between energy prices and the real effective exchange rate of commodity-exporting countries. We consider two sets of countries: 10 energy-exporting and 23 commodity-exporting countries over the period 1980–2011. Estimating a panel cointegrating relationship between the real exchange rate and its fundamentals, we provide evidence for the existence of “energy currencies”. Relying on the estimation of panel smooth transition regression (PSTR) models, we show that there exists a certain threshold beyond which the real effective exchange rate of both energy and commodity exporters reacts to oil prices, through the terms-of-trade. More specifically, when oil price variations are low, the real effective exchange rates are not determined by terms-of-trade but by other usual fundamentals. Nevertheless, when the oil market is highly volatile, currencies follow an “oil currency” regime, terms-of-trade becoming an important driver of the real exchange rate.
Document type :
Journal articles
Complete list of metadata

https://hal-sciencespo.archives-ouvertes.fr/hal-03399446
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Sunday, October 24, 2021 - 2:30:21 AM
Last modification on : Monday, April 4, 2022 - 3:26:02 PM

Links full text

Identifiers

Citation

Magali Dauvin. Energy prices and the real exchange rate of commodity-exporting countries. International Economics, Elsevier, 2014, 137, pp.52 - 72. ⟨10.1016/j.inteco.2013.11.001⟩. ⟨hal-03399446⟩

Share

Metrics

Record views

6