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.

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.

Has the low level of economic growth spurred informal sector activities in Uganda? An empirical analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Stephen Esaku
Keyword(s):  
Economic Growth ◽  
Informal Sector ◽  
Shadow Economy ◽  
Time Series Data ◽  
Series Data ◽  
Content Type ◽  
Low Level ◽  
Revenue Collection ◽  
Long Run ◽  
Short Run

PurposeIn this paper, the authors examine how economic growth shapes the shadow economy in the long and short run.Design/methodology/approachUsing annual time series data from Uganda, drawn from various data sources, covering the period from 1991 to 2017, the authors apply the ARDL modeling approach to cointegration.FindingsThis paper finds that an increase in economic growth significantly reduces the size of the shadow economy, in both the long and short run, all else equal. However, the long-run relationship between the shadow economy and growth is non-linear. The results suggest that the rise of the shadow economy could partially be attributed to the slow and sluggish rate of economic growth.Practical implicationsThese findings imply that addressing informality requires addressing underlying factors of underdevelopment since improvements in economic growth also translate into a reduction in the size of the shadow economy in the short and long run.Originality/valueThese findings reveal that the low level of economic growth is an issue because it spurs informal sector activities in the short run. However, as the economy improves, it becomes an incentive for individuals to operate in the informal sector. Additionally, tackling shadow activities in the short run could help improve tax revenue collection.

DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION?

2019 ◽  
Vol 14 (03) ◽  
pp. 1950013
Author(s):  
SURESH KUMAR OAD RAJPUT ◽  
NIAZ HUSSAIN GHUMRO ◽  
NADIA ANJUM
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Negative Impact ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Trade Integration ◽  
Asymmetric Effects ◽  
Long Run ◽  
Short Run ◽  
Exchange Rate Changes

This paper investigates whether exchange rate changes have symmetric or asymmetric effects on international trade integration, using quarterly time series data from 1980: Q1 till 2018: Q2. The recent innovation in cointegration techniques allows us to estimate nonlinear effects. We apply both linear autoregressive distributed lags (ARDL) and nonlinear ARDL models. The empirical results indicate that asymmetric relationship exists between exchange rate (REER) and international trade integration (ITI) in the short-run as well as in the long-run, meaning that real effective exchange rate has negative and statistically significant effects on international trade integration. Robustness checks indicate no role of various crisis including GFC on the relationship between ITI and REER, however, regime change has significantly negative impact in short-run and positive in long-run on ITI. The results are important because when we separate currency appreciation from the depreciation, it has the significant and different effects on international trade integration.

scholarly journals An ECM Approach for Long Run Relationship Between Real Exchange Rate and Output Growth: Evidence from Bangladesh

2015 ◽  
Vol 63 (2) ◽  
pp. 105-110 ◽  
Author(s):  
Khnd Md Mostafa Kamal
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Time Series Data ◽  
Output Growth ◽  
Series Data ◽  
Data Series ◽  
Currency Exchange ◽  
Long Run ◽  
Short Run

Currency exchange rate is an important aspect in modern economy which indicates the strength of domestic currency with respect to international currency. This study uses 42 years’ (1972 to 2013) time series data for Bangladesh in order to empirically determine whether the real exchange rate has significant impact on output growth for Bangladesh by using error correction model (ECM).The time series econometrics properties of the data series have been thoroughly investigated to apply ECM approach. The empirical evidence suggests mixed results; in the short run low exchange rate has positive significant effect while in the long run output growth is positively affected high exchange rate pass through.Dhaka Univ. J. Sci. 63(2):105-110, 2015 (July)

Determinants of environmental degradation in Saudi Arabia: exploring the unexplored

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Tahir ◽  
Arshad Hayat ◽  
Umar Burki
Keyword(s):  
Saudi Arabia ◽  
Environmental Degradation ◽  
Time Series Data ◽  
Trade Openness ◽  
Negative Relationship ◽  
Series Data ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Purpose Environmental degradation is recognized as a serious problem globally, and hence, Saudi Arabia is no exception. This paper aims to focus on the economy of Saudi Arabia to identify the determinants of environmental degradation. Design/methodology/approach Time series data spanning from 1971 to 2014 is used and analyzed using the recently developed autoregressive distributed lag modeling approach. Findings The obtained results reflected that natural resources, per person income and urbanization, have impacted environmental degradation both positively and significantly in the long run. Similarly, an insignificant negative relationship is established between trade openness and environmental degradation. Moreover, energy consumption has positively but insignificantly affected environmental degradation. In the short run, only per capita income has positively influenced environmental degradation while the rest of the variables have lost either significance levels or their direction of relationship has reversed. Originality/value As this is a pioneering study on the economy of Saudi Arabia, therefore, the authors assume that policymakers will find the findings of the current study very useful while formulating and implementing policies to control environmental degradation.

scholarly journals Stock market development and economic growth in Tanzania: an ARDL and bound testing approach

2020 ◽  
Vol 5 (3) ◽  
pp. 187-206
Author(s):  
Saganga Mussa Kapaya
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Time Series Data ◽  
Market Development ◽  
Series Data ◽  
Content Type ◽  
Stock Market Development ◽  
Testing Procedures ◽  
Long Run ◽  
Short Run

Purpose The purpose of this paper is to contribute to empirical evidence by recognizing the importance of stock markets in the financial system and consequently its causality to economic growth and vice versa. Design/methodology/approach The study used the autoregressive distribute lag model (ARDL) with bound testing procedures, the sample covered quarterly time-series data from 2001q1 to 2019q2 in Tanzania. Findings The results suggest that stock market development have both negative and positive causality for both short-run dynamics and long-run relationship with economic growth. Economic growth is found to only cause and relate negatively to liquidity both in the short-run and in the long-run. The results show predominantly a unidirectional causality flow from stock market development to economic growth and finds partial causality flow from economic growth to stock market development, as represented by stock market turnover which proxied liquidity. Originality/value The use of quarterly data to reflect more realistically the dynamics of the variables because yearly data may sometimes cover-up specific dynamics that may be useful for prediction and policy planning. The study uses indices to capture general aspects within the stock market against economic growth as an intuitive way to aggregate the stock market development effects.

scholarly journals Linear and Nonlinear Dynamics of the Turkish Trade Balance

2016 ◽  
Vol 8 (2) ◽  
pp. 70 ◽  
Author(s):  
Huseyin Karamelikli
Keyword(s):  
United States ◽  
United Kingdom ◽  
Exchange Rate ◽  
Trade Balance ◽  
Bilateral Trade ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
J Curve ◽  
Short Run

<p>This study empirically analyses bilateral trade of Turkey with her main trade partners using monthly time series data over the period of 2000 to 2015. J-curve theory and short-run dynamics of bilateral trade is tested by linear ARDL and Non-linear ARDL approaches. The empirical results indicate that there is no J-curve effect during short-run for United States and for France; it symmetrically exists to Germany and asymmetrically to United Kingdom. Also long-run relationship between exchange rate and trade balance has mixed results. Asymmetric long-run relationship between exchange rate and trade balance for United States exists where it is symmetrically most appropriate for Germany. In the other hand this study failed to verify any long-run relationship between exchange rate and trade balance for France and for United Kingdom.</p>

scholarly journals Asymmetric Impact of Oil Price on Inflation: Evidence from Nepal

2019 ◽  
Vol 31 (1) ◽  
pp. 21-46
Author(s):  
Dipesh Karki ◽  
Hari Gopal Risal
Keyword(s):  
Time Series Data ◽  
Price Level ◽  
Petroleum Products ◽  
Oil Price ◽  
Unit Price ◽  
Series Data ◽  
Asymmetric Adjustment ◽  
Long Run ◽  
Short Run ◽  
Pass Through

This paper investigates asymmetric oil price pass through on inflation in Nepal using time series data of 331 months from April 1987 to February 2018. The paper applies Nonlinear Autoregressive Distributed Lag (NARDL) model to estimate long run and short run asymmetric adjustment of refined petroleum products on Consumer Price Index (CPI). Finding shows presence of long run asymmetric adjustment between price of all petroleum products and CPI. However, when the model is controlled for monetary impact and price level of India, only the price of diesel is found to have long run asymmetric pass through into inflation. The long run cointegrating equation shows unit rise in price of diesel is accompanied by small contraction in CPI in long run by -0.048 units. Meanwhile unit fall in price of diesel is shown to have positive long run pass through in CPI by 0.431 units. This apparent anomaly could be attributed to fact that with rise in price of diesel, demand for cheaper adulterant like kerosene increases thus resulting in fall in CPI Similarly, fall in unit price of diesel could have overall increased industrial demand and other resources which in turn led to significant increase in CPI. Meanwhile, study didn’t find any significant asymmetry in short run between CPI and petroleum products. However, in short run a significant impact on the CPI by actual size of increased price of Petrol and Diesel has been found. Hence, in short run, it shows that it is the size of price increase in Petrol and Diesel; not the price itself that has significant effect on the CPI. Since petroleum products in Nepal are not priced by market, these findings can provide guidelines for future oil pricing in reducing the spillover impact on general price level.

scholarly journals Nigeria’s Fiscal Performance: Exploring the Role of Exchange Rate

2020 ◽  
Vol 5 (1) ◽  
pp. 17-26
Author(s):  
Fisayo Fagbemi ◽  
Olufemi Solomon Olatunde
Keyword(s):  
Exchange Rate ◽  
Public Debt ◽  
Time Series Data ◽  
Cointegration Analysis ◽  
Series Data ◽  
Exchange Rate Movement ◽  
Fiscal Performance ◽  
Long Run ◽  
Short Run ◽  
The Exchange Rate

The paper offers empirical justifications for the instrumentality of external sector in influencing the fiscal position of a country through the exchange rate. In the study, ARDL bounds test approach to cointegration analysis is adopted to examine the long run and short run relationship between exchange rate and fiscal performance in Nigeria. The validity of the findings is based on time series data between 1981 and 2017. The emerging evidence reveals that the exchange rate movement has a substantial influence on the fiscal performance, as there exists a significant adverse relationship between exchange rate and fiscal deficit in the long run as well as in the short run, while the association between exchange rate and public debt is found to be significantly positive in both periods. Empirical elucidations posit that an appreciation of the exchange rate could lead to decreasing fiscal deficits. However, the exchange rate appreciation might not induce a reduction in public debt, as it could stimulate demand for loanable funds by the government, although such effect could be mitigated through strategic investment policy and subsidized funding schemes to aid domestic production. Given that fiscal performance is considerably driven or constrained by the exchange rate movement, the study suggests that developing a strategic framework for ensuring a realistic exchange rate and the mitigation of regular fluctuations or correcting inappropriate exchange rate is crucial.

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