scholarly journals Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries

2019 ◽  
Vol 60 ◽  
pp. 212-228 ◽  
Author(s):  
Salem Boubakri ◽  
Cyriac Guillaumin ◽  
Alexandre Silanine
Keyword(s):  
Exchange Rate ◽  
Linear Relationship ◽  
Price Volatility ◽  
Commodity Price ◽  
Real Effective Exchange Rate ◽  
Non Linear ◽  
Commodity Price Volatility ◽  
Effective Exchange ◽  
Effective Exchange Rate

scholarly journals A Non-Linear Analysis of the Oil Price-Exchange Rate Nexus in Nigeria

2016 ◽  
Vol 8 (4(J)) ◽  
pp. 79-91
Author(s):  
Olagbaju Ifeolu O. ◽  
Akinbobola Temidayo O.
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Non Linear ◽  
Domestic Prices ◽  
Effective Exchange ◽  
Pass Through ◽  
Effective Exchange Rate

This paper studies the effect of oil price shocks on the Nigerian exchange rate on the basis of monthly data over the period January, 2008 to October, 2015. In order to explore the effects of oil prices on the competitiveness of the Nigerian currency, which had hitherto attracted little attention in literature, the paper adopts the real effective exchange rate measure within a five-variable VAR model, analysed using both linear and non-linear approaches. We find evidence of a non-linear impact of oil prices on real effective exchange rate. Specifically, decreases in oil price are found to have an appreciating impact on real effective exchange rate, implying a loss of competitiveness of the Naira, while increases in oil price are found to be irrelevant for movements in the real effective exchange rate. Our study also suggests a link between Naira depreciation and the real effective exchange rate appreciation through a pass-through effect on rising domestic prices.

scholarly journals Currency Depreciation, Trade Balance and Intra-Industry Trade Interactions in Turkey’s OECD Trade

2016 ◽  
Vol 8 (4) ◽  
pp. 8 ◽  
Author(s):  
Mehmet Demiral
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Adjustment Process ◽  
Industry Trade ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p>This study re-examines the determinants of Turkey’s trade balance in its manufactures trade with 33 OECD-member countries for the short-run and the long-run. Unlike other studies, in the relationships we also control the moderating effects of the availability of import substitutes proxied by intra-industry trade. We analyze quarterly aggregated time-series data of the period spanning from 1998.QI to 2015.QIII, following the autoregressive distributed lag (ARDL) bounds testing approach to the cointegration and the error correction modeling. Estimation results reveal that real effective exchange rate, together with domestic and foreign incomes are still among the core determinants of Turkey’s trade balance in the manufacturing sectors. There is no significant impact of domestic final oil prices that also include all the taxes on gasoline. The trade balance depends on domestic income negatively and the aggregated income of the OECD countries positively. The finding that real depreciation of Turkish lira against to those of Turkey’s OECD trade partners improves trade balance in both the short-run and the long-run, indicates no evidence of J-curve adjustment process. Unsurprisingly, the intra-industry trade seems to be an important factor that moderates the elasticities of trade balance to its determinants, especially to real effective exchange rate and domestic income. Overall results underline the importance of import-substitution capability besides the export-oriented production to ease the longstanding large trade deficits for Turkey.</p><strong></strong>

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