Le rôle du taux de change réel dans la transmission de l'instabilité des prix agricoles internationaux

This paper aims at analyzing the role of the real exchange rate in the transmission of world price instability to producers of agricultural commodity-exporting developing countries. The analysis relates to a sample of 51 developing countries over the 1968-2002 period. In those countries whose real exchange rate is supposed to be determined by world price movements, the instability of real prices measured in local currency is supposed to be lower than the instability of world real prices. However, in the great majority of countries, the instability of real prices in local currency is on the contrary stronger. This observation leads to analyse the nature of the relationship between the real exchange rate of these countries and the international real price of exported commodities. More precisely, we investigate whether this relationship can be asymmetric, which would explain a weak correlation between real exchange rate and world real prices. To test this hypothesis, we use an asymmetric cointegration approach. As it was expected, for many countries the results highlight a cointegration relationship between real effective exchange rate and world real prices when there is a rise in world prices, while the hypothesis of cointegration is rejected for almost all countries when there is a drop in world prices, which tends to corroborate the hypothesis of asymmetry.