Joint research unit 7235

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

Valérie Mignon, Virginie Coudert, Cécile Couharde

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.

AGENDA

Tuesday 31 January 2023

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

Nathalie Heinich (EHESS)

ANNULÉ ET REPORTÉ À UNE DATE ULTÉRIEURE

Valeur et mesure: aux limites de l’approche économique

Tuesday 31 January 2023

Valeur et mesure: aux limites de l’approche économique

Nathalie Heinich (EHESS)

ANNULÉ ET REPORTÉ À UNE DATE ULTÉRIEURE

Valeur et mesure: aux limites de l’approche économique

Tuesday 31 January 2023

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Aurelien Saussay(OFCE, Sciences Po, Paris), Misato Sato, (London School of Economics and Political Science) Francesco Vona (University of Milan) Layla O’Kane(Lightcast)

En visio

Who’s fit for the low-carbon transition? Emerging skills and wage gaps in job ad data

Tuesday 31 January 2023

Who’s fit for the low-carbon transition? Emerging skills and wage gaps in job ad data

Aurelien Saussay(OFCE, Sciences Po, Paris), Misato Sato, (London School of Economics and Political Science) Francesco Vona (University of Milan) Layla O’Kane(Lightcast)

En visio

Who’s fit for the low-carbon transition? Emerging skills and wage gaps in job ad data

Thursday 2 February 2023

Nouveaux doctorants

Nabil Daher, Michaël Guilloussou, Daniela Lima Rente, Maryam Soltani

Nouveaux doctorants

Thursday 2 February 2023

Lunch

Nabil Daher, Michaël Guilloussou, Daniela Lima Rente, Maryam Soltani

Nouveaux doctorants

Thursday 2 February 2023

Groupe de travail Economie Comportementale

Carole Treibich (Laboratoire d'Economie Appliquée de Grenoble GAEL)

Salle 101

Disentangling peer effects in transportation mode choice: the example of active commuting

Thursday 2 February 2023

Disentangling peer effects in transportation mode choice: the example of active commuting

Carole Treibich (Laboratoire d'Economie Appliquée de Grenoble GAEL)

Salle 101

Disentangling peer effects in transportation mode choice: the example of active commuting

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