Asymmetric impact of oil price shocks on selected macroeconomic variables: NARDL exposition

2020 ◽  
pp. 171-189
Author(s):  
Omoke Philip Chimobi ◽  
Uche Emmanuel
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
Asymmetric Effects ◽  
Asymmetric Impact

The preoccupation of this study is to give empirical explanations to the existing relationship between oil price dynamics and some selected macroeconomic variables in Nigeria. Specifical-ly, it seeks to identify if the impacts of the changing oil prices on output, investment and un-employment is symmetric or asymmetric. Monthly time series data used in the research was subjected to a nonlinear analysis through the newly developed NARDL. To that effect, our findings reveal that changes in oil prices has asymmetric effects on the chosen macroeconomic variables. Our findings call for different policy formulations for up and down swings in oil prices

scholarly journals Oil Price Shocks and Fiscal Spending in Oil Producing Economy: The Role of Asymmetry

2018 ◽  
pp. 1-10
Author(s):  
Bernard Olagboyega Muse
Keyword(s):  
Crude Oil ◽  
Empirical Finding ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Asymmetric Impact ◽  
The Impact ◽  
Fiscal Spending

Given their over reliance on proceeds from the sale of crude oil, fiscal spending in the oil-producing economy are often characterised with some specific challenges mainly due to the uncertainty in the nature of oil price movements in the international crude oil market. Motivated by the historical up – down trends in the international oil prices and their potential implications particularly for oil-producing countries, this paper explores linear and non-linear ARDL frameworks to examine the symmetric and asymmetric impact of oil price shocks on fiscal spending. Using the case of the Nigerian economy, this empirical finding suggests that shocks to international oil prices did matter for fiscal spending in the oil-producing economy. On the direction of the impact of the shocks, the finding of the non-rejection of the null hypothesis of no asymmetry thus implies that fiscal spending in Nigeria reacts indifferently to either a positive or negative oil price shocks.

scholarly journals Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?

2021 ◽  
Vol 21 (1) ◽  
pp. 1-17
Author(s):  
Hicham Ayad
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Shocks ◽  
Oil Price Shocks ◽  
Asymmetric Effect ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Integration Analysis

Abstract Research background: The aim of this paper is to examine the long run relationship among oil prices and the Algerian Dinar exchange rate over the period January 1995–February 2020 in Algeria as one of the most important oil-exporting countries and one of the OPEC members. Purpose: This study investigated the co-integration relationship between oil prices and exchange rate in Algeria by testing the long-run relationship between the two variables and their positive and negative shocks. Research methodology: the study applied both the traditional co-integration analysis using Engle-Granger, Phillips-Ouliaris and Johansen-Juselius tests and the hidden co-integration presented by Granger and Yoon (2002). Results: The results revealed that there is no evidence of a co-movement and linkage between oil prices and exchange rate in Algeria over the period of study neither with the original series nor between the cumulative components whatever the dependent variable. Novelty: This paper fills in the missing link between the Algerian Dinar exchange rate and oil prices especially with the absence of the hidden co-integration analysis in the case of Algeria and most of the developing countries. To deal with the oil shocks according to Apergis and Miller (2007) and Narayan and Gupta (2015) studies where when they suggested distinguishing between the negative and positive oil price shocks because the asymmetric effect on the macroeconomic variables.

A Comparative Study on the Behavior of Islamic and Conventional Stocks in the Presence of Oil Price, Gold Price, and Financial Risk Factors: Evidence from Dow Jones Indices

2019 ◽  
Vol 2 (2) ◽  
pp. 117-128
Author(s):  
Danish Iqbal Godil ◽  
Salman Sarwat ◽  
Muhammad Umer Quddoos ◽  
Muhammad Hanif Akhtar
Keyword(s):  
Time Series ◽  
Financial Risk ◽  
Time Series Data ◽  
Oil Prices ◽  
Gold Price ◽  
Oil Price ◽  
Series Data ◽  
Volatility Index ◽  
West Texas

The research aims to analyze the influence of the gold price, oil price and financial risk on Islamic and conventional securities on comparative as well as on individual bases. Monthly prices of oil and gold are extracted from the websites of West Texas Intermediate and World Gold Council, whereas time series data for financial risk is derived from the Volatility Index of S&P 500.  All these variables are found to be cointegrated at the first difference with both the Dow Jones indices, which means that gold, oil and financial risk have long term association with Islamic and conventional stocks. In order to find the direction and magnitude, this study applied the Newey-West HAC test, which also handles autocorrelation and heteroscedasticity issues in the time series data. The findings of the study suggest that gold prices are positively associated whereas oil prices and financial risk are negatively associated with both types of securities. Though the direction of the nexus is similar for Islamic and conventional stocks, but the magnitude differs especially in case of oil and financial risk. Nevertheless, it can be concluded that there is no diversification prospect between conventional and Islamic stocks under the influence of oil prices, financial risk, and gold prices.

scholarly journals The Effect of USD/IDR Exchange Rate, Interest Rate, and World Oil Price To Jakarta Composite Index (JCI)

2019 ◽  
Vol 3 (2) ◽  
pp. 191
Author(s):  
Ummu Salma Al-Azizah ◽  
Yusdi Daulay ◽  
Naufal Krisnanto
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Stock Exchange ◽  
Composite Index ◽  
Oil Price ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Exchange Rate

This research aims to investigate effect of selected macroeconomic variables, i.e., USD/IDR exchange rate, interest rate, and world oil price to indonesia composite index at the indonesia stock exchange (IDX). This paper examine the direct effect of selected macroecomonic variable on Indonesia Composite Index. The study used time series data from the 2012-2017. By using an regression technique analysis, the result from showed that simultaneously the exchange rate, interest rate, and world oil price have a significant effect on Indonesia Composite Index. Partially, only the exchange rate has a significant effect on Indonesia Composite Index, interest rate and world oil price have no significant effect on Indonesia Composite Iindex. The amount of influece caused by the three variables is 58% and the rest is explained by other variables.

scholarly journals Domestic Macroeconomic Adjustment to Oil Price Shocks Under Different Exchange Rate Regimes in Malaysia

2020 ◽  
Author(s):  
Fumitaka Furuoka ◽  
Wong Hock Tsen ◽  
Chong Hui Ing ◽  
Ting Siew King
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Exchange Rate Regime ◽  
Exchange Rate Regimes ◽  
Flexible Exchange Rate ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Fixed Exchange Rate

This study examined the insulation properties of flexible exchange rate regime and fixed exchange rate regime in response to the oil price shocks in Malaysia. A monthly time series data for the period 1980- 2005 was used to examine whether the response of output, exchange rate and price levels to the oil price shocks were different across the exchange rate regimes. For this purpose, this study employed the structural vector autoregressive model. Empirical results indicated that the short-run output responses to the oil price shocks are smoother under the flexible exchange rate regime compared to the situation under the fixed exchange rate regime.  

scholarly journals How Distortionary are Oil Price Shocks to Consumer Prices? Empirical Evidence from Nigeria Using Dynamic Co-Integration Models

2019 ◽  
pp. 1-13 ◽  
Author(s):  
N. Adedeji Abdulkabir ◽  
Musa Mohammed ◽  
M. Talba Jibrin ◽  
M. Ajayi Jiddah
Keyword(s):  
Time Series Data ◽  
Dynamic Error ◽  
Consumer Price Index ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Energy Prices ◽  
Stabilization Policy ◽  
Price Shocks ◽  
Consumer Prices

This paper examines the response of consumer prices to the oil price shocks in Nigeria. The current oil price slump and its slowness to rise for giving hope to economic recovery pose a threat to many oil-backed economies, particularly Nigeria. As such, oil price and consumer price index are modelled, based on dynamic error-correction models, with aim to capture asymmetric response of consumer prices to a change in oil price. Quarterly time series data spanned from 2001Q1 to 2016Q4 were obtained and analyzed using dynamic co-integration method which allows for asymmetric adjustments. Our results revealed that three disaggregated consumer prices exhibit some degree of persistence to their long-run values, however, their responses are faster to a rise than to a fall in oil price. Correspondingly, aggregate price is found to be rigid downward, suggesting high prices of consumer commodities in Nigeria. This serves as a confirmation that low oil price is likely attributed to the high costs of basic consumer commodities in Nigeria, perhaps due to subsidy removal. We thus recommend that a credible price stabilization policy should be designed to curb the price-increasing effect that an oil price downturn may have on consumer commodities, such target should specifically focus on food and beverages, clothing, and energy prices.

scholarly journals Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings

2020 ◽  
pp. 16-29
Author(s):  
Suma Mwankemwa ◽  
Isack Kibona ◽  
Aziza M. Said
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Crude Oil Prices ◽  
Negative Effect

This study investigated the nexus of crude oil price shocks and exchange rates of Tanzanian shillings (TSh) as an oil importing country. Using weekly series data for the period 01/01/2005 to 31/12/2015, Vector Autoregressive (VAR) model was employed to test the relationship of crude oil prices and Tanzanian exchange rates. In addition, Granger Causality was tested to check the causality of these two variables. The findings of this study show that oil prices granger causes the exchange rate of TSh while exchange rates of TSh cannot Granger cause the oil prices. Also, the impulse response functions revealed that crude oil price shocks initially had a significant negative effect on TSh, however, there was a slightly negative effect on crude oil starting from TSh as a granger causer. VAR results showed that all the coefficients of TSh do not significantly influence crude oil prices. Crude oil price coefficients had a negative significance towards explaining the variability of Tanzanian shillings’ exchange rates (TZS).This revealed that a change in oil prices would precede changes in TSh movements.

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

The Effects of Oil Prices Changes on Output Growth and Inflation: Evidence from Turkey

2013 ◽  
Vol 5 (11) ◽  
pp. 730-739 ◽  
Author(s):  
Pelin ÖGE GÜNEY
Keyword(s):  
Time Series Data ◽  
Output Growth ◽  
Oil Price ◽  
Series Data ◽  
Negative Effects ◽  
Price Changes ◽  
Asymmetric Effects ◽  
Price Increases ◽  
Causality Tests ◽  
The Impact

This paper investigates the effects of oil price changes on output and inflation for the case of Turkey using monthly time series data for the period 1990:1–2012:3. Recent studies suggest that oil price changes may have asymmetric effects on the macroeconomic variables. To account for asymmetric effects, we decompose oil price changes into positive and negative parts following Hamilton (1996). Our results show that while oil price increases have clear negative effects on output growth, the impact of oil price decline is insignificant. Similarly, oil price increases have positive and significant effects on inflation. However, oil price declines have not a significant effect on inflation. The Granger causality tests also support these results.

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