We statically and dynamically measure total and directional volatility connectedness in
global foreign exchange (forex) markets. We use the volatility spillover index and LASSO …

The aim of this paper is to present EQCHANGE, the new database developed by the CEPII
on effective exchange rates. EQCHANGE includes two sub-databases containing data on (i) …

We explore the dynamic and directional network connectedness between implied volatility
measures of crude oil and the exchange rate of nine major currency pairs for a sample …

This paper aims to evaluate the impact of commodity terms of trade (CTOT) shocks on the
labour market resilience of Sub-Saharan Africa (SSA) countries, comparing the franc zone …

This study aims to investigate real effective exchange rates and real commodity prices
volatility transmission among Mexico, Indonesia and Turkey. According to the results, there …

Motivated by the absence of conclusive guidance from the current literature, this study
revisits the effects of terms of trade shocks on real effective exchange rates (RER) across …

The aim of this paper is to contribute to the existing literature by exploring the relationship
between the real commodity price volatilities and the real effective exchange rate (REER) of …

The global financial crisis has brought increased attention to the consequences of
international reserves holdings. In an era of high financial integration, we investigate the …

This paper extends the existing empirical literature by investigating whether the COVID-19
crisis has strengthened the dynamic relationships between oil price and exchange rate. We …

Using quarterly data on four commodity-exporting countries, we examine the explanatory
power of real commodity prices to predict real effective exchange rates, paying particular …