On the impact of volatility on the real exchange rate - terms of traden nexus: Revisiting commodity currencies

摘要

The aim of this paper is to study the relationship between terms of trade and real exchange rates in commodity-producing countries on both the short and the long run. We investigate potential non-linearity in the real exchange rate - terms of trade nexus according to the level of volatility in commodity and financial markets. To this end, we consider a panel of 68 commodity exporters, split in sub-samples of advanced, intermediate and low-income countries. We first show that there is a long-run