期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2011
卷号：2011
期号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：Commodity currency literature recently stressed the importance of commodity
prices as a determinant of real exchange rates in developing countries (Cashin,
Cespedes and Sahay 2004). We provide new empirical evidence on this issue by
focusing on countries which are specialized in the ex-port of one leading
commodity. For those countries, we investigate to which extent their real exchange
rate is sensitive to price fluctuations of their dominant commodity. By using nonstationary
panel techniques robust to cross-sectional-dependence, we find that the
price of the dominant commodity has a significant long-run impact on the real
exchange rate when the exports of the leading commodity have a share of at least
20 percent in the country’s total exports of merchandises. Our results also showthat the larger the share, the larger the size of the impact
