Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89595
Authors: 
Dauvin, Magali
Year of Publication: 
2013
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 102.2013
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 non-fuel 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.
Subjects: 
Energy Prices
Terms-of-Trade
Exchange Rate
Commodity-Exporting Countries
Panel Cointegration
Nonlinear Model
PSTR
JEL: 
C33
F31
O13
Q43
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.