Energy Prices and the Real Exchange Rate of Commodity-Exporting Countries
AbstractThis 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.
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Bibliographic InfoPaper provided by CEPII research center in its series Working Papers with number 2013-28.
Date of creation: Sep 2013
Date of revision:
energy prices; terms-of-trade; exchange rate; commodity-exporting countries; panel cointegration; nonlinear model; PSTR;
Other versions of this item:
- Magali Dauvin, 2014. "Energy prices and the real exchange rate of commodity-exporting countries," Economie Internationale, CEPII research center, CEPII research center, issue 137, pages 52-72.
- Magali Dauvin, 2013. "Energy Prices and the Real Exchange Rate of Commodity-Exporting Countries," Working Papers, Fondazione Eni Enrico Mattei 2013.102, Fondazione Eni Enrico Mattei.
- Magali Dauvin, 2013. "Energy prices and the real exchange rate of commodity-exporting countries," EconomiX Working Papers 2013-33, University of Paris West - Nanterre la Défense, EconomiX.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- O13 - Economic Development, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-11 (All new papers)
- NEP-ENE-2013-10-11 (Energy Economics)
- NEP-OPM-2013-10-11 (Open Economy Macroeconomics)
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- Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave, 2014.
"Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies,"
Working Papers, CEPII research center
2014-01, CEPII research center.
- Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave, 2014. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," EconomiX Working Papers 2014-14, University of Paris West - Nanterre la Défense, EconomiX.
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