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Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries

Author

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  • Salem Boubakri
  • Cyriac Guillaumin

    (CREG - Centre de recherche en économie de Grenoble - UGA [2016-2019] - Université Grenoble Alpes [2016-2019])

  • Alexandre Silanine

Abstract

The aim of this paper is to contribute to the existing literature by exploring the relationship between the real commodity price volatilities and the real effective exchange rate (REER) of commodity-exporting countries, taking into account the transition variable of financial market integration. To this end, we consider a sample of 42 commodity-exporting countries subdivided into 4 panels: food and beverages, energy, metals, and raw materials. Our results highlight that the relationship between real commodity price volatility and REER is non-linear and depends on the degree of financialization of the commodity market. Specifically, when a country is poorly integrated financially, the volatility of the real commodity price has a strong and negative impact on the variation in REER. However, for periods when a country is better integrated financially, we observe a decrease in the impact of real commodity price volatility on REER, especially for the two panels of food and beverages as well as energy. Our findings also highlight the growth of financialization of commodities post-2000, particularly in the case of the energy sector.

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  • Salem Boubakri & Cyriac Guillaumin & Alexandre Silanine, 2019. "Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries," Post-Print halshs-02157574, HAL.
    • Handle: RePEc:hal:journl:halshs-02157574
    DOI: 10.1016/j.jmacro.2019.02.004
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    More about this item

    Keywords

    real commodity price volatility; commodity-exporting countries; real effective exchange rate; financial integration; panel smooth transition model;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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