Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks

2019 ◽  
Vol 43 (4) ◽  
pp. 750-763 ◽  
Author(s):  
Hassan Anjum
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Oil Prices ◽  
Dollar Exchange Rate ◽  
Volatility Transmission ◽  
The Us ◽  
Us Dollar

scholarly journals Test for asymmetry on the ex-pump price of premium gasoline in Ghana, Kenya, and Colombia

2021 ◽  
Vol 4 (1) ◽  
pp. 73-89
Author(s):  
Senanu Kwasi Klutse ◽  
Gábor Dávid Kiss
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Dollar Exchange Rate ◽  
Fuel Prices ◽  
Crude Oil Prices ◽  
Long Run ◽  
The Us ◽  
Us Dollar

Once again, the World has been faced with an oil price shock as a result of the SARS-CoV-2 coronavirus pandemic. This has resurrected an old debate of whether retail fuel prices adjust significantly to either increases or decreases in international crude oil prices. With many countries moving towards the deregulation of their petroleum sub-sector, the impact of the US dollar exchange rate on retail fuel prices cannot be overlooked. This study investigates the rate at which positive and negative changes in international Brent crude oil prices and the US dollar exchange rate affected the increases or decreases in the ex-pump price of premium gasoline between February 2012 and December 2019. Using a non-linear auto-regressive distributed lag model, the exchange rate was found to play a significant role in fluctuations in the retail price of premium gasoline in Ghana and Colombia in the long run, howev-er, the rate of adjustment between the negative and positive changes was not significant, dispelling the perception of price asymmetry. There was no significant relationship between the ex-pump price of premium gasoline and the international Brent crude oil price in Ghana and Kenya in the long run. This study recommends that the aforementioned countries prioritise the creation of ex-change rate buffers to prevent exchange rate shocks that may affect retail fuel prices.

scholarly journals Development trends of the fuel and energy resources market in agricultural sector of Ukraine

Ekonomika APK ◽  
2020 ◽  
Vol 313 (11) ◽  
pp. 80-89
Author(s):  
Oleksandr Zakharchuk ◽  
Tetiana Matsybora
Keyword(s):  
Exchange Rate ◽  
Diesel Fuel ◽  
Agricultural Sector ◽  
Oil Prices ◽  
Retail Price ◽  
Energy Resources ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
Rate Research

The purpose of the article is to establish the main trends in the development of the market of fuel and energy resources in the agricultural sector, to build a model for calculating the retail price of diesel fuel in Ukraine, depending on world oil prices and the US dollar exchange rate. Research methods. In the process of research, the dialectical method of scientific cognition, analysis and synthesis, system generalization (establishment of the basic tendencies of development of the market of fuel and energy resources in the agricultural sector, formation of conclusions) is used; analytical alignment of the trend (linear) (identifying the trend in the dynamics of demand for gasoline and diesel fuel) were used; world oil prices and retail prices for gasoline and diesel fuel in Ukraine); correlation and regression analysis (quantitative measurement of the degree of influence on the price of diesel fuel of both individual factors and their combination; construction of a regression model for calculating the retail price of diesel fuel in Ukraine depending on world oil prices and the US dollar exchange rate). Research results. The main trends in the development of the market of fuel and energy resources in the agricultural sector of Ukraine have been established. The degree of influence of both individual factors and their combination on the price of diesel fuel has been determined. A regression model is built for calculating the retail price of diesel fuel in Ukraine depending on world oil prices and the US dollar exchange rate. A short-term forecast of the price of diesel fuel in Ukraine has been carried out. Scientific novelty. Based on the establishment of the main trends in the development of the market of fuel and energy resources in the agricultural sector, an econometric model based on multiple linear regression has been built, which allows determining the relationship between the retail price of diesel fuel in Ukraine and the world oil price, as well as the dollar exchange rate. Practical significance. Conclusions, suggestions and practical recommendations can be used in the development of investment projects in agriculture and the formation of state programs for the agricultural sector development. Tabl.: 4, Figs.: 4. Refs.: 14.

scholarly journals The Effect of Inflation, Interest Rates and World Oil Prices on Gold Prices in Indonesia with the US Dollar Exchange Rate as an Intermediary Variable

2021 ◽  
Vol 2 (1) ◽  
Author(s):  
Ummi Kalsum ◽  
Randy Hidayat ◽  
Sheila Oktaviani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Oil Prices ◽  
Series Data ◽  
Path Coefficient ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

This study aims to determine the effect of inflation, interest rates, and world oil prices on fluctuations in gold prices in Indonesia with the US Dollar exchange rate as an intermediary variable. This research is a type of explanatory research with a quantitative approach. The data used are monthly time series data for 2014 - 2019 with a sample of 72 samples. Hypothesis testing in this study uses path analysis, is a development technique of multiple linear regression. This technique is used to test the amount of contribution shown by the path coefficient on each path diagram of the causal relationship between cariables X1, X2, and X3 on and its impact on Z. The results of this study indicate that the effect of inflation, interest rates and worl oil prices on exchange rates individually has very little effect. The effect of inflation, interest rates, world oil prices and the exchange rate on gold prices individually shows a negative value for inflation and interest rates means that the effect is small, while for the world oil price and the dollar exchange rates shows a positive value which means that it has a large effect on the price of gold. The effect of inflation, interest rates and world oil prices on gold prices through the exchange rate, all variable show a negative value, this indicates that the effect is very small.

scholarly journals Oil prices and the US effective exchange rate: A hidden cointegration analysis

2016 ◽  
Vol 5 (4) ◽  
pp. 134 ◽  
Author(s):  
Panagiotis Rafailidis ◽  
Constantinos Katrakilidis
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
Long Run ◽  
The Us ◽  
Effective Exchange ◽  
Us Dollar ◽  
Effective Exchange Rate ◽  
The Relationship

AbstractWe investigate the long-run relationship between the US Dollar effective exchange and the oil prices (wti) over the period from January 1986 to August 2014. We allow for the relationship to be nonlinear by employing the hidden cointegration technique of Granger and Yoon (2002) and Schorderet (2004). The Quandt – Andrews approach allows accounting for structural breaks. The results reveal a long-run relationship between the two markets.

Spillover effect of US dollar exchange rate on oil prices

2008 ◽  
Vol 30 (6) ◽  
pp. 973-991 ◽  
Author(s):  
Yue-Jun Zhang ◽  
Ying Fan ◽  
Hsien-Tang Tsai ◽  
Yi-Ming Wei
Keyword(s):  
Exchange Rate ◽  
Spillover Effect ◽  
Oil Prices ◽  
Dollar Exchange Rate ◽  
Us Dollar

scholarly journals Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

2010 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis A. Gil-Alana
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar

scholarly journals FAKTOR-FAKTOR YANG MEMPENGARUHI JUMLAH KUNJUNGAN WISATAWAN DI PROPINSI SUMATERA UTARA

2021 ◽  
Vol 4 (1) ◽  
pp. 1-10
Author(s):  
Enita Rosmika
Keyword(s):  
Exchange Rate ◽  
General Knowledge ◽  
Product Knowledge ◽  
Climate History ◽  
Dollar Exchange Rate ◽  
Factors Affecting ◽  
Independent Variables ◽  
Tourism Product ◽  
The Us ◽  
Us Dollar

Tourism Product Knowledge is regarding the general knowledge of all regions in Indonesia which includes the location of the region / geography, climate, history, politics, culture, and particularly object - attractions and facilities and attractions which support it. In this study, entitled Factors Affecting Total tourist arrivals in Sumut Province Year Period 2014 -2019. The purpose of this study was to determine the number of rooms and the dollar exchange rate partially and simultaneously inuence the number of tourist arrivals in Sumut, in order to obtain a result the number of hotel rooms inuential not evident partially on the number of tourists visiting the province of Sumut, because t smaller than t table or -1.651 <1.761 while the dollar exchange rate has a signicant effect on the number of tourists visiting the province of Sumut, because t is greater than t table or 2.236> 1.740 and Total Room and the US dollar exchange rate simultaneously or together of the number of tourists visiting Sumut Province since F count> F table or 13.288> 3.59. The magnitude of the effect of independent variables on the dependent variable simultaneously can be known from the value of the coefcient of determination (R2) is equal to 0.639. This means that both variables jointly contribute to or inuence amounted to 63.9 percent of the number of tourists visiting the province of Sumut, while the remaining 36.1 percent is inuenced by other variables that are not described in the model, such as safety, service, facilities.

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