scholarly journals OIL PRICE BEHAVIOUR, EXCHANGE RATE MOVEMENT AND THE COVID-19 PANDEMIC IN NIGERIA: ANALYSIS OF THE FIRST THREE QUARTERS OF 2020

2021 ◽  
Vol 6 (1) ◽  
pp. 51-61
Author(s):  
Jimoh O. Saka
Keyword(s):  
Exchange Rate ◽  
Rate Increase ◽  
Discharge Rate ◽  
Oil Price ◽  
Fatality Rate ◽  
Test Statistic ◽  
Exchange Rate Movement ◽  
The Third ◽  
Corona Virus ◽  
Long Run

This paper evaluates the response of oil price and exchange rate to the corona virus pandemic shock aside from the link between oil price and exchange rate for the first three quarters of 2020 in Nigeria. The theoretical framework emanates from the informal approach and the terms of trade channels. Using VAR cointegration approach, results show existence of long run relationship among the oil price, exchange rate movement and the corona virus indicators based on Max-Eigen and Trace test statistic. End of first quarter oil price, discharge rate and fatality rate negatively relate with current exchange rate. First quarter exchange rate and fatality rate positively relates to oil price behaviour in the third quarter while end of first quarter discharge rate increase fosters oil price decline. First quarter spread rate increase gradually reduces oil demand and the price in the third quarter. All corona virus indicators and exchange rate variable Granger Cause current oil price. Diversification is key to widen export base and increase foreign exchange and stability. Policy measures to sustain the economy in the post COVID-19 and beyond are necessary for long term development.

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.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

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.

scholarly journals EFFECTS OF EXCHANGE RATE MOVEMENTS ON EXPORT OF SOME SELECTED AGRICULTURAL PRODUCTS IN EMERGING AFRICAN COUNTRIES

2020 ◽  
Vol 14 (1) ◽  
pp. 91-112
Author(s):  
E. A. OLUBIYI ◽  
F. KOLADE ◽  
D. A. DAIRO
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Agricultural Production ◽  
Agricultural Products ◽  
African Countries ◽  
Mixed Effect ◽  
Exchange Rate Movement ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

This study investigates the effect of exchange rate movement on export of five selected agricultural products, in five emerging countries in Africa. Autoregressive Distributed Lag (ARDL) method was employed to analyse the data spanning 1995 to 2015. It was found that, in the short run, exchange rate has a mixed effect on the product across countries, that is, in some products and countries, exchange rate affects export positively, while in some countries and product exchange rate movement has a negative effect on export.  Further, exchange rate does not have long run effect on sugar and fruits and nuts in most of the countries.  Consequently, it is recommended that government, in countries where exchange rate depreciation increases export, should maintain depreciation. Further, there should be provision of adequate infrastructure that will enhance agricultural production.   In the same vein, interest rate on loans given to farmers should be minimal, so as to encourage borrowing to finance agricultural production.  This recommendation is mostly relevant to countries where interest rate affects export negatively.    

scholarly journals Bank Performance versus Recession Indicators: A Linear Cointegration Approach

2017 ◽  
Vol 1 (1) ◽  
pp. 8-15
Author(s):  
Ashamu Sikiru Oyerinde
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Sample Size ◽  
Empirical Investigation ◽  
Rate Increase ◽  
Bank Performance ◽  
Annual Data ◽  
Increase With Increase ◽  
Long Run ◽  
Short Run

In this study, the researcher provides an empirical investigation of the nexus between banks’ performance and recession indicators. A sample size of 35 years was selected on annual data. A linear cointegration method was adopted after accounting for seasonality through logarithmic transformation. The results revealed that indicators of recession-exchange rate, inflation and interest rate maintain long run relationship with bank performance, and evidence of long run influence was established. Furthermore, we discover that within the purview of short run dynamic situation, inflation influences banks’ performance inversely, while exchange rate and interest rate increase with increase in banks’ performance. We therefore conclude that banks’ performance is driven by indicators of recession both in the short and in long run.

scholarly journals LONG RUN RELATIONSHIP BETWEEN OIL PRICE SHOCKS, EXCHANGE RATE VOLATILITY AND ECONOMIC GROWTH IN NIGERIA

2021 ◽  
Vol 4 (2) ◽  
pp. 27-51
Author(s):  
Abubakar Mikailu Aminu ◽  
◽  
Alexander Abraham Anfofum ◽  
Zakaree Saheed ◽  
◽  
...  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Causality Test ◽  
Long Run ◽  
Oil Price Shock ◽  
Price Shock ◽  
Short Run

The paper examined the long run relationship between oil price shock, exchange rate volatility and economic growth in Nigeria over the period 1980-2019. The study employed the Johansen Vector Autoregression (VAR)-based cointegration technique model to examine the sensitivity of real economic growth to changes in oil prices and real exchange rate volatility in the long-run while the short run dynamics was checked using a vector error correction model. The result from the Granger causality test suggests that there is causality between oil price, exchange rate and GDP. The results from Johansen cointegration test indicate there exist a long-run equilibrium relationship among the variables. Findings further show that oil price shock and appreciation in the level of exchange rate exert positive impact on real economic growth in Nigeria. The paper therefore recommends greater diversification of the economy through investment in key productive sectors of the economy using income from the crude oil export to guard against the vicissitude of oil price shock and exchange rate volatility.

scholarly journals Oil Price Fluctuations and the Future of Saudi Arabian Non-Oil Traded Sector: An Empirical Investigation

2017 ◽  
Vol 9 (4) ◽  
pp. 217
Author(s):  
Abdulaziz Hamad Algaeed
Keyword(s):  
Exchange Rate ◽  
Manufacturing Sector ◽  
Government Expenditure ◽  
Testing Procedure ◽  
Dutch Disease ◽  
Oil Price ◽  
Disease Symptoms ◽  
Vector Autoregressive ◽  
Long Run ◽  
The Government

The major focus of this paper is to investigate theoretically and empirically the effects of non-linear oil price changes on Saudi manufacturing (traded) sector covering the period of 1970 till 2015, utilizing structural vector autoregressive (SVAR) approach. The Dutch disease syndrome will be clarified, and the impacts of oil price variations (increase and decrease) are investigated. Johansen’s testing procedure result asserts the existence of stable long-run relationship between real traded sector (MANUFACTURING), oil price increase and decrease, real government expenditure (GOEX), real exchange rate (REX), and the mining sector (MINING). The findings confirm that OILshock(+), and REX influence MANU negatively, while the spending effect, GOEX affects MANU positively. However, this could be attributed to the government efforts to nullify the Dutch disease symptoms. Given, the obtained tests’ results, the exchange rate REX appreciation confirms the existence of the Dutch disease, and consistent with the Dutch disease literature and findings. The Manufacturing sector harmed enough to the degree that government has to subsidize.

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

Asymmetric effects of oil price changes on the Nigerian exchange rate

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Patrick Onodje ◽  
Temitope Ahmdalat Oke ◽  
Oluwatimilehin Aina ◽  
Nazeer Ahmed
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Oil Price ◽  
Series Data ◽  
Price Changes ◽  
Content Type ◽  
Asymmetric Effects ◽  
Wald Tests ◽  
Long Run ◽  
Short Run

Purpose The purpose of this paper is to examine the effect of crude oil prices on the Nigerian exchange rate with emphasis on discriminating between the effects of positive and negative changes in oil price on exchange rate. Design/methodology/approach The authors used monthly time series data from 1996:1 to 2019:6 and adopted two oil price measures, namely, Brent crude and West Texas Intermediary prices. For analysis, the authors used stepwise least squares to estimate a non-linear ARDL (NARDL) model and Wald tests to determine cointegration and the presence of asymmetric effects. Findings The findings showed that positive and negative Brent crude price changes significantly affect exchange rates differently in nominal terms, both in the long-run and short-run. However, the differences were purely in terms of effect size because the exchange rate decreased for both negative and positive oil price changes. Originality/value Whilst empirical research on asymmetries in the effect of oil price on exchange rate abounds, little evidence exists in Nigeria’s case. Although some studies previously tested for asymmetric oil price effects on the Nigerian currency, the approach used did not estimate long and short-run effects or test of long-run and short-run asymmetries. This paper fills this methodological gap using monthly using the NARDL approach. The NARDL approach provided the advantage of estimating effects for the long-run and short-run and testing for asymmetries in both time spans.

Dynamics of oil price, precious metal prices and the exchange rate in the long-run

2019 ◽  
Vol 84 ◽  
pp. 104508 ◽  
Author(s):  
Sefa Awaworyi Churchill ◽  
John Inekwe ◽  
Kris Ivanovski ◽  
Russell Smyth
Keyword(s):  
Exchange Rate ◽  
Precious Metal ◽  
Oil Price ◽  
Long Run ◽  
The Exchange Rate
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