Do commodity price volatilities impact currency misalignments in commodity-exporting countries?
This paper aims to investigate the relationship between misalignments of real effective exchange rates and real commodity price volatilities in a sample of 46 commodity-exporting countries by considering financial development as the transition variable. We first estimate currency misalignments as de...
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2020
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| Online Access: | https://shs.hal.science/halshs-02935658/document |
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| _version_ | 1857415064881987585 |
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| author | Boubakri, Salem |
| author2 | Guillaumin, Cyriac Silanine, Alexandre |
| author2_role | author author |
| author_facet | Boubakri, Salem Guillaumin, Cyriac Silanine, Alexandre |
| author_role | author |
| dc.creator.none.fl_str_mv | Boubakri, Salem Guillaumin, Cyriac Silanine, Alexandre |
| dc.date.none.fl_str_mv | 2020-06-25T11:55:14Z 2020-06-25T11:55:14Z 2020 |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Economics Bulletin, vol 40(2), 2020, p1727-1739 https://shs.hal.science/halshs-02935658/document |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Economics Bulletin 2 40 1545-2921 |
| dc.subject.none.fl_str_mv | Currency misalignments real commodity price volatility financial development level commodity-exporting countries panel smooth transition model |
| dc.title.none.fl_str_mv | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| dc.type.none.fl_str_mv | Controlled Vocabulary for Resource Type Genres::text::periodical::journal::contribution to journal::journal article |
| description | This paper aims to investigate the relationship between misalignments of real effective exchange rates and real commodity price volatilities in a sample of 46 commodity-exporting countries by considering financial development as the transition variable. We first estimate currency misalignments as deviations of the observed real effective exchange rates from their equilibrium values estimated using the behavioural equilibrium exchange rate (BEER) approach. Then, we rely on panel data and a smooth-transition regression model to estimate commodity price volatilities' non-linear impacts on currency misalignments. Our results indicate that the estimated coefficients are highly significant, and demonstrate that real commodity prices' volatility has a non-linear impact on currency misalignments depending on the country's degree of financial development. |
| id | sorbonner_2a4e9c5ed58b7aa251d6dc57df4c549f |
| identifier_str_mv | Economics Bulletin, vol 40(2), 2020, p1727-1739 |
| language_invalid_str_mv | en |
| network_acronym_str | sorbonner |
| network_name_str | Sorbonne University Abu Dhabi repository |
| oai_identifier_str | oai:depot.sorbonne.ae:20.500.12458/404 |
| publishDate | 2020 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Do commodity price volatilities impact currency misalignments in commodity-exporting countries?Boubakri, SalemGuillaumin, CyriacSilanine, AlexandreCurrency misalignmentsreal commodity price volatilityfinancial development levelcommodity-exporting countriespanel smooth transition modelThis paper aims to investigate the relationship between misalignments of real effective exchange rates and real commodity price volatilities in a sample of 46 commodity-exporting countries by considering financial development as the transition variable. We first estimate currency misalignments as deviations of the observed real effective exchange rates from their equilibrium values estimated using the behavioural equilibrium exchange rate (BEER) approach. Then, we rely on panel data and a smooth-transition regression model to estimate commodity price volatilities' non-linear impacts on currency misalignments. Our results indicate that the estimated coefficients are highly significant, and demonstrate that real commodity prices' volatility has a non-linear impact on currency misalignments depending on the country's degree of financial development.2020-06-25T11:55:14Z2020-06-25T11:55:14Z2020Controlled Vocabulary for Resource Type Genres::text::periodical::journal::contribution to journal::journal articleapplication/pdfEconomics Bulletin, vol 40(2), 2020, p1727-1739https://shs.hal.science/halshs-02935658/documentenEconomics Bulletin2401545-2921oai:depot.sorbonne.ae:20.500.12458/4042023-12-05T10:14:35Z |
| spellingShingle | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? Boubakri, Salem Currency misalignments real commodity price volatility financial development level commodity-exporting countries panel smooth transition model |
| title | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| title_full | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| title_fullStr | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| title_full_unstemmed | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| title_short | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| title_sort | Do commodity price volatilities impact currency misalignments in commodity-exporting countries? |
| topic | Currency misalignments real commodity price volatility financial development level commodity-exporting countries panel smooth transition model |
| url | https://shs.hal.science/halshs-02935658/document |