scholarly journals The effects of world crude oil price on the real effective exchange rate: empirical evidences from Vietnam

2019 ◽  
Vol 177 (5-6) ◽  
pp. 53-69
Author(s):  
Tu Chuc Anh ◽  
◽  
Thuy Nguyen Thu ◽  
Thuy Truong Thi ◽  
Ngo Chi Thanh ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

scholarly journals Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015)

2016 ◽  
Vol 9 (1) ◽  
pp. 62-80 ◽  
Author(s):  
Waheed Ibrahim
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Terms Of Trade ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Abstract This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2), nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price) is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

Some dynamic macroeconomic perspectives for India’s economic growth

2020 ◽  
Vol 12 (4) ◽  
pp. 641-658
Author(s):  
Matiur Rahman ◽  
Anisul Islam
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Content Type ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Purpose The purpose of this paper is to study impacts of changes in crude oil price, money supply, fiscal deficit and effective exchange rate on India’s economic growth (expressing all variables in real term). Design/methodology/approach First, a simple macroeconomic model is formulated to this effect. Next, linear autoregressive distributed lag procedure and vector error-correction model are applied for growth empirics. Annual data are used from 1977 through 2015. Findings Rises in real crude oil price and monetized real fiscal deficits have negative short-run and long-run effects on real economic growth. Increase in real money supply and real effective exchange rate appreciation helps promote real economic growth in both short run and long run. In all cases, there is evidence of net interactive positive feedback effects among the variables in the short run. Real effective exchange rate appreciation dampens exports, but it is helpful to imports of capital goods and crude oil that contribute to economic growth. So, the net effect on the economy may be conjecturally positive. Originality/value To the best of the authors’ knowledge, this paper is unique because of the formulation of macro-economic model pertaining to the topic and its subsequent empirical verification. Moreover, this paper seems more comprehensive than some other studies, cited in the literature review.

scholarly journals Effects of Oil Price Shocks on the Ghanaian Economy

2016 ◽  
Vol 64 (1) ◽  
pp. 315-324
Author(s):  
Dennis Nchor ◽  
Václav Klepáč ◽  
Václav Adamec
Keyword(s):  
Exchange Rate ◽  
Government Expenditure ◽  
Value Added ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

The economy of Ghana is highly vulnerable to fluctuations in the international price of crude oil. This is due to the fact that oil as a commodity plays a central role in the economic activities of the nation. The objective of this paper is to investigate the dynamic relationship between oil price shocks and macroeconomic variables in the Ghanaian economy. This is achieved through the use of Vector Autoregressive (VAR) and Vector Error Correction (VECM) models. The variables considered in the study include: real oil price, real government expenditure, real industry value added, real imports, inflation and the real effective exchange rate. The study points out the asymmetric effects of oil price shocks; for instance, positive as well as negative oil price shocks on the macroeconomic variables used. The empirical findings of this study suggest that both linear and nonlinear oil price shocks have adverse impact on macroeconomic variables in Ghana. Positive oil price shocks are stronger than negative shocks with respect to government expenditure, inflation and the real effective exchange rate. Industry value added and imports have stronger responses to negative oil price shocks. Positive oil price shocks account for about 30% of fluctuations in government expenditure, 5% of imports, 6% of industry value added, 17% of inflation and 2% of the real effective exchange rate in the long run. Negative oil price shocks account for about 8% of fluctuations in government spending, 20% of imports, 8% of inflation and 2% of the real effective exchange rate in the long run. The data was obtained from the United States Energy Information Administration and the World Bank’s World Development Indicators.

scholarly journals A Non-Linear Analysis of the Oil Price-Exchange Rate Nexus in Nigeria

2016 ◽  
Vol 8 (4(J)) ◽  
pp. 79-91
Author(s):  
Olagbaju Ifeolu O. ◽  
Akinbobola Temidayo O.
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Non Linear ◽  
Domestic Prices ◽  
Effective Exchange ◽  
Pass Through ◽  
Effective Exchange Rate

This paper studies the effect of oil price shocks on the Nigerian exchange rate on the basis of monthly data over the period January, 2008 to October, 2015. In order to explore the effects of oil prices on the competitiveness of the Nigerian currency, which had hitherto attracted little attention in literature, the paper adopts the real effective exchange rate measure within a five-variable VAR model, analysed using both linear and non-linear approaches. We find evidence of a non-linear impact of oil prices on real effective exchange rate. Specifically, decreases in oil price are found to have an appreciating impact on real effective exchange rate, implying a loss of competitiveness of the Naira, while increases in oil price are found to be irrelevant for movements in the real effective exchange rate. Our study also suggests a link between Naira depreciation and the real effective exchange rate appreciation through a pass-through effect on rising domestic prices.

scholarly journals Equilibrium Real Exchange Rate and Misalignment: The Sierra Leone Perspective

2021 ◽  
Vol 8 (3) ◽  
pp. 41
Author(s):  
Abu Bakarr TARAWALIE
Keyword(s):  
Exchange Rate ◽  
Sierra Leone ◽  
Government Expenditure ◽  
Unit Root Test ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Long Run ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
Long Run Equilibrium

This paper estimates the equilibrium real effective exchange rate and determine the level of exchange rate misalignment in Sierra Leone, for the period 1980 to 2018. The paper utilizes the behavioral equilibrium exchange rate methodology within the Johansen maximum likelihood framework to estimate the long run equilibrium real effective exchange rate. The unit root test result shows that all the variables are integrated of order one, whilst the cointegration test establishes the existence of one cointegrating vector as evidenced by both the Trace and Maximum Eigen Statistics. The normalized long run results reveal that openness, government expenditure and money supply were the most significant determinants of the real effective exchange rate in the long run. Furthermore, the findings reveal that the real effective exchange rate experienced sustained deviation from the long run equilibrium real effective exchange rate during the study period, with episodes of overvaluation and undervaluation. Specifically, the real effective exchange rate was overvalued by 3.69 percent during the period between 1980-1985; undervalued by 1.8 percent between 1986-1997, and overvalued by 0.9 percent between 1998-2004, Thus, the paper reveals episodes of misalignment of the real effective exchange rate. Based on these findings, the study recommends that, the monetary authorities should ensure stability of the exchange rate and maintain price stability, through sterilization of capital flows as well as contain money growth within the statutory limit.

scholarly journals Portfolio Investment Flows, GDP, and Investment in Brazil

2016 ◽  
Vol 8 (12) ◽  
pp. 1
Author(s):  
Roberto Meurer
Keyword(s):  
Exchange Rate ◽  
Correlation Coefficients ◽  
Strong Relationship ◽  
Production Costs ◽  
Real Effective Exchange Rate ◽  
Portfolio Investment ◽  
The Real ◽  
Financial Variables ◽  
Effective Exchange ◽  
Effective Exchange Rate

Foreign portfolio investment (FPI) flows have grown substantially in recent decades, following changes in the international financial system. In Brazil, FPI represented 66% of foreign direct investment between 1995 and 2009, which makes it meaningful to analyze these flows. In this paper, the relationships between FPI flows to Brazil, GDP, investment, and financial variables from 1995 to 2009 are analyzed, employing quarterly data and applying descriptive statistics, correlation coefficients, and Granger causality tests. Results show a positive relationship between flows, GDP, and investment. Relationships between flows and financial variables show a strong relationship between FPI and the real effective exchange rate, which could be one of the channels through which the flows are related to real variables by means of changes in relative domestic and foreign production costs. Expectations about future behavior of the economy seem to be an important explanation for the relationship between flows and the real variables. Because FPI is volatile and this volatility relates to real variables through the real effective exchange rate and the interest rate, there is a case to be made for the implementation of capital controls.

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