On the impact of oil price volatility on the real exchange rate–terms of trade nexus: Revisiting commodity currencies

摘要: The aim of this paper is to study the relationship between terms trade and real exchange rates commodity-producing countries on both short long run. We pay particular attention dominant role played by oil among commodities investigating potential non-linear effect exerted situation market rate - nexus. To end, we rely panel smooth transition regression methodology estimate adjustment process effective its equilibrium value depending volatility market. Considering a 52 commodity exporters 17 over 1980-2012 period, our findings show that while are mainly driven fundamentals in low-volatility regime, they mostly sensitive changes when price variations exceed certain threshold. commodity-currency property thus at play run only for important price.