{"title":"Currency crises in emerging countries: The commodity factor","authors":"Vincent Bodart , Jean-François Carpantier","doi":"10.1016/j.jcomm.2022.100287","DOIUrl":null,"url":null,"abstract":"<div><p><span>In this paper, we explore whether falls in commodity prices can explain the simultaneous occurrence of currency crises in emerging and developing countries. For our empirical analysis, we use a panel of 104 emerging and developing countries, covering the period 1970–2018. Our empirical investigation starts with an event study analysis, which reveals that currency crises in commodity dependent countries are preceded by commodity price growth 2 to 4 percentage points below normal. A second analysis, inspired by the literature on </span>early warning systems<span>, confirms this findings by showing that commodity price fluctuations are a key predictor of currency crises in commodity dependent countries. In addition, using Poisson regression analysis, we find that a 10% decrease in global commodity price indices leads to a rise of about 7% in the number of currency crises hitting commodity exporting countries.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100287"},"PeriodicalIF":3.7000,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851322000447","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
In this paper, we explore whether falls in commodity prices can explain the simultaneous occurrence of currency crises in emerging and developing countries. For our empirical analysis, we use a panel of 104 emerging and developing countries, covering the period 1970–2018. Our empirical investigation starts with an event study analysis, which reveals that currency crises in commodity dependent countries are preceded by commodity price growth 2 to 4 percentage points below normal. A second analysis, inspired by the literature on early warning systems, confirms this findings by showing that commodity price fluctuations are a key predictor of currency crises in commodity dependent countries. In addition, using Poisson regression analysis, we find that a 10% decrease in global commodity price indices leads to a rise of about 7% in the number of currency crises hitting commodity exporting countries.
期刊介绍：
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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