Unité mixte de recherche 7235

On the impact of oil price volatility on the real exchange rate – terms of trade nexus: Revisiting commodity currencies

Virginie Coudert, Cécile Couharde, Valérie Mignon

[en]The aim of this paper is to study the relationship between terms of trade and real exchange rates of commodity-producing countries on both the short and the long run. We pay particular attention to the dominant role played by oil among commodities by investigating the potential non-linear effect exerted by the situation on the oil market on the real exchange rate – terms of trade nexus. To this end, we rely on the panel smooth transition regression methodology to estimate the adjustment process of the real effective exchange rate to its equilibrium value depending on the volatility on the oil market. Considering a panel of 52 commodity exporters and 17 oil exporters over the 1980-2012 period, our findings show that while exchange rates are mainly driven by fundamentals in the low-volatility regime, they are mostly sensitive to changes in terms of trade when oil price variations exceed a certain threshold. The commodity-currency property is thus at play in the short run only for important variations in the oil price.[/en]

AGENDA

mercredi 19 janvier 2022

Économies du monde musulman

Fateh Belaid (King Abdullah Petroleum and Research Center)

Mapping and understanding the drivers of fuel poverty in MENA countries: The case of Egypt and Jordan

jeudi 20 janvier 2022

Doctorants

Mathilde Aubouin

Déterminants des inégalités numériques chez les ménages français

lundi 24 janvier 2022

Law, Institutions and Economics in Nanterre (LIEN)

Tommaso Giommoni (ETH Zurich)

En visio

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

mardi 25 janvier 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Alexandre Chirat

Aux origines des théories managériales de l’entreprise : la correspondance Baumol-Galbraith (1958-1959)

jeudi 27 janvier 2022

Lunch

Emmanuelle Faure, Olivier Kayser, Jocelyne Zoumenou

Nouveaux doctorants

jeudi 27 janvier 2022

Groupe de travail Economie Comportementale

Fabio Galeotti

11h-12h

Information Acquisition and Social Norm Information

mardi 1 février 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Nicolas LAURENCE (Université Lyon 2 & TRIANGLE)

Le déploiement des cryptomonnaies et des monnaies locales dans le cadre de la crise de légitimité de l’Euro

lundi 7 février 2022

Law, Institutions and Economics in Nanterre (LIEN)

Samuel Ferey (BETA)

Paradoxes de vote et décision des juges constitutionnels : une approche empirique sur le cas français

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