Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries
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...
محفوظ في:
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | , |
| منشور في: |
2019
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| الوصول للمادة أونلاين: | http://hdl.handle.net/20.500.12458/351 |
| الوسوم: |
إضافة وسم
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| _version_ | 1857415063516741632 |
|---|---|
| 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 | 2019-03-27T16:15:12Z 2019-03-27T16:15:12Z 2019 |
| dc.identifier.none.fl_str_mv | 01640704 http://hdl.handle.net/20.500.12458/351 10.1016/j.jmacro.2019.02.004 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Journal of Macroeconomics 60 212 228 |
| dc.title.none.fl_str_mv | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| dc.type.none.fl_str_mv | Controlled Vocabulary for Resource Type Genres::text::periodical::journal::contribution to journal::journal article |
| description | 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. |
| id | sorbonner_7880f0cb41915cd998f837eeb782c0a8 |
| identifier_str_mv | 01640704 10.1016/j.jmacro.2019.02.004 |
| language_invalid_str_mv | en |
| network_acronym_str | sorbonner |
| network_name_str | Sorbonne University Abu Dhabi repository |
| oai_identifier_str | oai:depot.sorbonne.ae:20.500.12458/351 |
| publishDate | 2019 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countriesBoubakri, SalemGuillaumin, CyriacSilanine, AlexandreThe 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.2019-03-27T16:15:12Z2019-03-27T16:15:12Z2019Controlled Vocabulary for Resource Type Genres::text::periodical::journal::contribution to journal::journal article01640704http://hdl.handle.net/20.500.12458/35110.1016/j.jmacro.2019.02.004enJournal of Macroeconomics60212228oai:depot.sorbonne.ae:20.500.12458/3512023-12-05T10:16:44Z |
| spellingShingle | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries Boubakri, Salem |
| title | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| title_full | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| title_fullStr | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| title_full_unstemmed | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| title_short | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| title_sort | Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries |
| url | http://hdl.handle.net/20.500.12458/351 |