Climate Risk and Commodity Currencies

49 Pages Posted: 28 Dec 2020

See all articles by Felix Kapfhammer

Felix Kapfhammer

BI Norwegian Business School

Vegard Larsen

Norges Bank

Leif Anders Thorsrud

Centre for Applied Macroeconomics and Commodity Prices (CAMP), BI Norwegian Business School

Date Written: 2020

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.

JEL Classification: C110, C530, D830, D840, E130, E310, E370

Suggested Citation

Kapfhammer, Felix and Larsen, Vegard and Thorsrud, Leif Anders, Climate Risk and Commodity Currencies (2020). CESifo Working Paper No. 8788, Available at SSRN: https://ssrn.com/abstract=3754679 or http://dx.doi.org/10.2139/ssrn.3754679

Felix Kapfhammer (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Vegard Larsen

Norges Bank ( email )

P.O. Box 1179
Oslo, Oslo N-0107
Norway
+4745831155 (Phone)

HOME PAGE: http://www.vegardlarsen.com

Leif Anders Thorsrud

Centre for Applied Macroeconomics and Commodity Prices (CAMP), BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
310
Abstract Views
740
rank
134,695
PlumX Metrics