全球智库信息集成服务系统(G2TT): Energy Prices and the Real Exchange Rate of Commodity-Exporting Countries

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Energy Prices and the Real Exchange Rate of Commodity-Exporting Countries
	Magali Dauvin
发表日期	2013
出处	Energy: Resources and Markets
出版年	2013
语种	英语
摘要	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. *** Suggested citation: Dauvin, M., (2013), Energy Prices and the Real Exchange Rate of Commodity-Exporting Countries', Nota di Lavoro 102.2013, Milan, Italy: Fondazione Eni Enrico Mattei.
特色分类	C33;F31;013;Q43
关键词	Energy Prices Terms-of-Trade Exchange Rate Commodity-Exporting Countries Panel Cointegration Nonlinear Model PSTR
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/energy-prices-and-the-real-exchange-rate-of-commodity-exporting-countries/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118133
推荐引用方式 GB/T 7714	Magali Dauvin. Energy Prices and the Real Exchange Rate of Commodity-Exporting Countries. 2013.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
201312161038131Nota_（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
20131211158514NDL201（2094KB）	智库出版物		限制开放	CC BY-NC-SA	浏览