Climate Risk and Commodity Currencies
Felix Kapfhammer (),
Vegard Larsen and
No No 10/2020, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
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)
Pages: 49 pages
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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:bny:wpaper:0093
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