Commodity currencies

Chen, Yu-Chin; Rogoff, Kenneth

doi:10.1016/s0022-1996(02)00072-7

Cited by 485 publications

(431 citation statements)

References 24 publications

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“…The terms of trade channel impacts both oil-exporting and oil-importing countries, albeit in different ways (e.g., Cordon and Neary, 1982;Amano and van Norden, 1998a,b;Backus and Crucini, 2000;Chen and Rogoff, 2003;and Cashin et al, 2004). For oil-importing countries, an increase in oil prices generally leads to a deterioration of the trade balance and subsequently to a depreciation of the local currency (Fratzscher et al, 2014).…”

Section: Theoretical Considerations and Literature Reviewmentioning

confidence: 99%

The impact of oil shocks on exchange rates: A Markov-switching approach

2016

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This paper uses Markov-switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries. This is an important topic to study because an oil shock can affect a country's terms of trade which can affect its competitiveness. We detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks. We find limited evidence that oil supply shocks affect exchange rates. Global economic demand shocks affect exchange rates in both oil exporting and importing countries, though there is no systematic pattern of appreciating and depreciating real exchange rates. The results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates.JEL Classification: F31, G15, Q43

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Section: Theoretical Considerations and Literature Reviewmentioning

confidence: 99%

The impact of oil shocks on exchange rates: A Markov-switching approach

2016

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“…The terms of trade channel was explored, for example, by Backus and Crucini (2000), and Chen and Rogoff (2003). For oil-exporting countries, an increase in oil prices generally leads to improvements of the trade balance and subsequently to an appreciation of the local currency, which may eventually lead to a Dutch Disease problem by driving up the price of the non-tradable goods (Buetzer et al, 2012).…”

Section: Related Literature: a Brief Reviewmentioning

confidence: 99%

Exchange Rates of Oil Exporting Countries and Global Oil Price Shocks: A Nonlinear Smooth-Transition Approach

Haug

Basher

2017

SSRN Journal

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This paper considers logistic (asymmetric) and exponential (symmetric) smooth transition adjustments of real and nominal exchange rates for six major oil-exporting countries in response to different shocks affecting oil prices. Real exchange rate movements affect the terms of trade and hence may affect relative competitiveness. We detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to oil supply shocks, idiosyncratic oil-market-specific shocks, and speculative (crude oil inventory) oil-market shocks. On the other hand, global aggregate demand shocks, which are shocks that do not directly originate in the oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and linear effects for the UK. These qualitative results mostly hold for nominal exchange rate returns as well. Exceptions are that linear effects are found for aggregate demand shocks for Brazil and for idiosyncratic shocks for Norway, whereas the aggregate demand shocks for the UK have nonlinear and asymmetric effects instead of linear ones. JEL Classification: F31, Q43

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“…10 7 These results are also observed when the cyclical component of the output is analyzed (not included in order to save space). The output gap shows that the only Brazilian specific cyclical movement took place in [2002][2003], with the political crisis associated with the presidential election 8 Chen and Rogoff (2003) discuss the difficulties in using error-correction models in order to test exchange rate models. 9 Note that unlike Fratscher, Sarno and Zinna (2012), we consider that the coefficients are not time-varying.…”

Section: Baseline Frameworkmentioning

confidence: 99%