Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen–US dollar exchange rates in Japan

2012 ◽  
Vol 26 (3) ◽  
pp. 371-386 ◽  
Author(s):  
Tadahiro Nakajima ◽  
Shigeyuki Hamori
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Oil Prices ◽  
Electricity Prices ◽  
Crude Oil Prices ◽  
Us Dollar

The Asymmetric Effects of Crude Oil Prices and Exchange Rates on Diesel Prices for 27 European Countries

2021 ◽  
pp. 097215092199903
Author(s):  
Ebru Yuksel Haliloglu ◽  
M. Hakan Berument
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Petroleum Product ◽  
Oil Prices ◽  
Asymmetric Effects ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
Rockets And Feathers ◽  
Us Dollar

Many studies have examined the asymmetric effect of US dollar-denominated crude oil prices on petroleum product prices. The ‘rockets and feathers’ argument suggests that a crude price increase raises petroleum product prices more than a corresponding decrease in crude prices lowers product prices. However, for the countries that do not use the US dollar as a medium of exchange, petroleum product prices are also affected by the exchange rates. This paper analysed the asymmetric effects of both US dollar-denominated crude oil prices and exchange rates on local currency-denominated diesel prices for 27 European countries in the short run as well as long run. The overall empirical evidence suggests that, in the short run, diesel prices react more to crude oil price increases than to a decrease, parallel to the ‘rockets and feathers’ argument. However, contrary to that argument, the long-run adjustment is the opposite. As for exchange rate shocks, again the ‘rockets and feathers’ argument holds and diesel prices respond more to exchange rate depreciation than appreciation in the short and long run.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

Common Trends and Common Cycles in Oil Price and Real Exchange Rate

2014 ◽  
Vol 14 (2) ◽  
pp. 249-263 ◽  
Author(s):  
Hem C. Basnet ◽  
Puneet Vatsa ◽  
Subhash Sharma
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Real Exchange Rates ◽  
Oil Prices ◽  
Oil Price ◽  
Cycle Decomposition ◽  
The Real ◽  
Crude Oil Prices ◽  
Common Cycles

This study explores the long- and short-run movement between oil prices and the real exchange rates of two large oil-exporting countries – Canada and Norway. Cointegration and serial correlation common features tests are jointly used to identify the long-term common trend and short-term common cycles. Our test results find that oil prices and the real exchange rates of the Canadian Dollar and the Norwegian Krone have two shared trends and one shared cycle. The trend–cycle decomposition shows a great deal of positive comovement among the trend and cyclical components. The two currencies show economic dynamics very similar to crude oil prices. They do not exhibit any qualitative differences in the trajectory of the trend and cycles when controlling for different crude oil prices. Our results indicate that oil price fluctuations play significant role in explaining the exchange rate movements of oil-exporting countries.

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