Commodity markets and the exchange rate risk: Theoretical framework

Résumé

Since the commodity markets and financial markets became more interconnected, the determination of the most potential risk factors becomes an essential step in the choice of models and tools for risk measurement and assessment in modern financial modeling. This study aims to point out, analyze and determine all the studies realized to explore the links between commodity markets and exchange rate risk as a major risk factor in these markets. This study was based on the Preferred Reporting Items for Systematic Reviews and Meta-analysis to select and determine the most relevant topics and the new recommendations. Using a sample from 2000 to 2022, 632 articles were collected and 34 articles were included as most relevant ones. We find that the great financial crisis of 2008 had a structural change in commodity markets and financial markets structures. Our findings suggest also that extreme chocs on commodity markets resulting from exchange rate, extreme values and the risk resulting from the financial position changes of investors remain the important areas which need more investigations.