Climate risk and commodity currencies
Felix Kapfhammer,
Vegard Larsen and
Leif Thorsrud
No 2020/18, Working Paper from Norges Bank
Abstract:
The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate change transition risk and show that when such risk is high, major commodity currencies experience a persistent depreciation and the relationship between commodity price fluctuations and currencies tends to become weaker.
Keywords: exchange rates; climate; risk; commodities (search for similar items in EconPapers)
JEL-codes: C11 C53 D83 D84 E13 E31 E37 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2020-12-16
New Economics Papers: this item is included in nep-env, nep-isf, nep-mac and nep-opm
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Citations: View citations in EconPapers (14)
Downloads: (external link)
https://hdl.handle.net/11250/2727312
Related works:
Working Paper: Climate Risk and Commodity Currencies (2020) 
Working Paper: Climate Risk and Commodity Currencies (2020) 
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2020_18
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