@article{Dauvin:162418,
      recid = {162418},
      author = {Dauvin, Magali},
      title = {Energy Prices and the Real Exchange Rate of  Commodity-Exporting Countries},
      address = {2013-12},
      number = {830-2016-55293},
      series = {ERM},
      pages = {35},
      year = {2013},
      abstract = {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.},
      url = {http://ageconsearch.umn.edu/record/162418},
      doi = {https://doi.org/10.22004/ag.econ.162418},
}