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International audience; This paper aims to investigate the relationship between misalignments of real effective exchange rates and real commodity price volatilities in a sample of 46 commodity-exporting countries by considering financial development as the transition variable. We first estimate currency misalignments as deviations of the observed real effective exchange rates from their equilibrium values estimated using the behavioural equilibrium exchange rate (BEER) approach. Then, we rely on panel data and a smooth-transition regression model to estimate commodity price volatilities' non-linear impacts on currency misalignments. Our results indicate that the estimated coefficients are highly significant, and demonstrate that real commodity prices' volatility has a non-linear impact on currency misalignments depending on the country's degree of financial development.

This study tests an international extension of the Capital Asset Pricing Model (CAPM),integrating two sources of risk: the first is related to the international financial market and thesecond is related to the domestic market. Our model takes into account the financial integrationdynamics of each domestic market with the international market. In this framework, the ICAPMis tested separately, depending on whether the markets are perfectly integrated or partiallysegmented. Through an application to the different G20 stock markets, we show that thecurrency risk premium in the ICAPM is statistically and economically significant and contributesto the total risk premium. Our findings also put forward the existence of a link between highvolatility on financial markets and significant increases in risk premium, especially the onerelated to the exchange market since summer 2007., info:eu-repo/semantics/published

Forthcoming

Forthcoming

Forthcoming