The role of oil price shocks on China's real exchange rate

2007 ◽  
Vol 18 (4) ◽  
pp. 403-416 ◽  
Author(s):  
Ying HUANG ◽  
Feng GUO
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

Modeling the real ruble exchange rate under monetary policyregime change

2017 ◽  
pp. 61-78 ◽  
Author(s):  
A. Polbin
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Structural Break ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Policy Regime ◽  
The Real ◽  
Long Run

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and real oil prices. The VECM model takes into account the structural break in short-term parameters due to the Bank of Russia monetary policy regime change in November 2014. Estimates show that the real exchange rate response to oil price shocks has dramatically changed. Before November2014 it took approximately one year to correct 50% of the real exchange rate gap due to oil prices permanent change. From November 2014 the real exchange rate adapts to oil price shocks almost instantly. The estimate of long-run elasticity of the real exchange rate on real oil prices is 0.33.

Oil price shocks and exchange rate in Nigeria

2015 ◽  
Vol 9 (1) ◽  
pp. 2-19 ◽  
Author(s):  
Musibau Adetunji Babatunde
Keyword(s):  
Exchange Rate ◽  
Empirical Studies ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
Crude Oil Prices ◽  
The Exchange Rate

Purpose – This study aims to examine the relationship between the oil price and the exchange rate for Nigeria between January 1997 and December 2012. Previous empirical studies revealed an ambiguous relationship between crude oil prices and exchange rates, a reason for exploring the differential effects of positive and negative oil price shocks on the exchange rate. Design/methodology/approach – Time series and structural analysis were used. Findings – The findings indicate different responses for the exchange rate with respect to positive and negative oil price shocks. Positive oil price shocks were found to depreciate the exchange rate, whereas negative oil price shocks appreciate the exchange rate. In addition, the asymmetric effects of positive and negative oil price shocks on the real exchange rate were not supported by the statistical evidences. The empirical results were robust to different specifications. Originality/value – To the best of the authors’ knowledge, this is the first paper to assess the differential impact of positive and negative oil price shocks and the role of oil prices in predicting the exchange rate over long horizons in Nigeria.

scholarly journals The Impact of Oil Price Shocks on National Income: Evidence from Azerbaijan

Energies ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 1695
Author(s):  
Shahriyar Mukhtarov ◽  
Sugra Humbatova ◽  
Mubariz Mammadli ◽  
Natig Gadim‒Oglu Hajiyev
Keyword(s):  
Exchange Rate ◽  
Oil Price ◽  
Gdp Per Capita ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Total Trade ◽  
Trade Turnover ◽  
Per Capita ◽  
The Exchange Rate ◽  
The Impact

This study investigates the influence of oil price shocks on GDP per capita, exchange rate, and total trade turnover in Azerbaijan using the Structural Vector Autoregressive (SVAR) method to data collected from 1992 to 2019. The estimation results of the SVAR method conclude that oil price shocks (rise in oil prices) affect GDP per capita and total trade turnover positively, whereas its influence on the exchange rate is negative in the case of Azerbaijan. According to results of this study, Azerbaijan and similar oil-exporting countries should reduce the dependence of GDP per capita, the exchange rate, and total trade turnover from oil resources and its prices in the global market. Therefore, these countries should attempt to the diversification of GDP per capita, the exchange rate, and other sources of total trade turnover.

scholarly journals On the Sources and Consequences of Oil Price Shocks: The Role of Storage

2012 ◽  
Vol 12 (270) ◽  
pp. 1 ◽  
Author(s):  
Deren Unalmis ◽  
Ibrahim Unalmis ◽  
D. Filiz Unsal ◽  
◽  
◽  
...  
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

On the asymmetric response of the exchange rate to shocks in the crude oil market

2020 ◽  
Vol 14 (4) ◽  
pp. 839-852 ◽  
Author(s):  
Huthaifa Alqaralleh
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Crises ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Exchange Rate ◽  
Asymmetric Cointegration

Purpose This paper aims to investigate the nonlinear dynamics in the effects of oil price shocks on the exchange rate for a sample from the Group of Twenty (G20) over the period 1994:1-2019:1. Design/methodology/approach Using monthly time series data covering the period1994:1-2019:1, the author first use the non-parametric triples test of Randles et al. (1980) to ascertain the existence of asymmetric properties in the sample of exchange rates. Then the author used the nonlinear ARDL cointegration approach developed by Shin et al. (2014) to examine the reaction of these exchange rates to the oil price shocks. Findings This study has identified significant evidence that the exchange rate is asymmetrically distributed, with the effect that high appreciation of the exchange rate is followed by slower depreciation. The NARDL results support such asymmetry even more strongly because in the test the exchange rate is shown to react differently in the long term to positive and negative shocks in oil prices. Another major finding was that the speed of adjustment differed over the sample, as the cumulative dynamic multipliers effect highlighted. Research limitations/implications This change in direction and the employment of non-linear technique can be to obtain better insight into the model specification, which the author believes, will not only enhance the findings in the literature but also enhance forecasting and decision-making. Practical implications A practical implication of this change is the possibility that policymakers and participants concerned with exchange rate stability should intervene in the market to alleviate the unfavourable impact of oil price shocks on the exchange rate. Originality/value Addressing this nonlinear dynamic in the effects of oil price shocks on the exchange rate have at least the following two important reasons: asymmetry and regime change are types of nonlinearities that affect the market dynamics, especially, over marked sample period with such financial crises as the global financial crises of 2007, thereby violating the linear models. Adopting an asymmetric cointegration technique permits to incorporate cointegrated positive and negative components of the considered series.

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