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]


jeudi 30 mars 2023

Groupe de travail « Intelligence artificielle »

Paola Tubaro (CREST)

Salle : G614B

Artificial intelligence, labour transformations, and inconspicuous inequalities: women’s work on digital ‘micro-tasking’ platforms

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Law, Institutions and Economics in Nanterre (LIEN)

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En salle 614 et en distanciel


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

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Groupe de travail « Intelligence artificielle »

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Recherche de synergies productives et synergies inter-entreprises

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

Fabrice Dannequin (Université de Reims champagne Ardenne & laboratoire REGARDS)

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