Oil price and exchange rate nexus in Algeria: evidence from nonlinear asymmetric and frequency domain approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sidi Mohammed Chekouri ◽  
Abdelkader Sahed
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Frequency Domain ◽  
Granger Causality ◽  
Oil Prices ◽  
Oil Price ◽  
Wavelet Coherence ◽  
Content Type ◽  
Long Run ◽  
The Impact

Purpose This paper aims to examine the relationship between exchange rate and oil prices in Algeria over the period 2004Q1–2019Q4. Design/methodology/approach The nonlinear autoregressive distributed lag method is used to capture the potential asymmetric relationship among oil prices and the exchange rate. Frequency domain spectral Granger causality test is also applied to investigate the causal linkage between the two variables. The wavelet coherence is applied to analyze the evolution of this relationship both in time and frequency domains. Findings The empirical results reveal evidence of long-run asymmetric effects of oil price on Algeria’s real effective exchange rate (REER), implying that an increase in oil price causes a real exchange rate to appreciate, while a decrease in oil price leads to a real exchange rate to depreciate. More specifically, it is found that the impact of negative oil price shocks is higher than the one associated with positive shocks. The spectral Granger causality results further indicate that there is unidirectional causality running from oil price to REER in both medium and long run. The wavelet coherence findings provide evidence of some co-movement between the REER and oil price and point out that the oil price is leading real exchange rate in the medium and long terms. Originality/value This study contributes to the literature by investigating the asymmetric impact and the time domain causal linkage between oil price fluctuations and real exchange rate in Algeria.

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 Assessing the influence of exchange rate on agricultural commodity export price: evidence from Vietnamese coffee

2020 ◽  
Vol 22 (2) ◽  
pp. 297-309
Author(s):  
Trung Tuyen Dang ◽  
Caihong Zhang ◽  
Thi Hong Nguyen ◽  
Ngoc Trung Nguyen
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Export Price ◽  
Agricultural Commodity ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Commodity Export ◽  
Short Run ◽  
The Impact

PurposeThe purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN).Design/methodology/approachThe study uses cointegration test, Granger causality test and vector autoregression (VAR) model.FindingsThe results reveal that there is no co-integrating equation between two variables. It means the exchange rate does not have an effect on PVN in the long run. Furthermore, there is one Granger causality relationship between VND/USD exchange rate and PVN in the short run, but not vice versa. The study suggests that the first previous period of PVN is the most closely related variable which has the greatest impact on the variation of PVN among the selected variables, meanwhile the effect of VND/USD exchange rate on it, contrarily, is positive and very trivial.Originality/valueIn overall, the impact of VND/USD exchange rate on Vietnamese coffee export price (PVN) has been analyzed deeply in this research by applying new approaches.

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.

An empirical investigation of the relationship between the real exchange rate and net FDI inflows in Mauritius

2019 ◽  
Vol 11 (1) ◽  
pp. 63-74 ◽  
Author(s):  
Ashok Babubudjnauth ◽  
Boopendra Seetanah
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Content Type ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Impact ◽  
Time Series Methodology ◽  
Official Sources ◽  
The Relationship

Purpose The purpose of this paper is to find out the impact of real exchange rate on foreign direct investment (FDI) in Mauritius. Design/methodology/approach Autoregressive distributed lag time series methodology is used. Findings Real exchange rate depreciation enhances inflows of FDI in both the short and long run. Originality/value The research is original, and data used are from official sources.

Modeling the real ruble exchange rate under monetary policyregime change

2017 ◽  
pp. 61-78 ◽  
Author(s):  
A. Polbin
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Structural Break ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Policy Regime ◽  
The Real ◽  
Long Run

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and real oil prices. The VECM model takes into account the structural break in short-term parameters due to the Bank of Russia monetary policy regime change in November 2014. Estimates show that the real exchange rate response to oil price shocks has dramatically changed. Before November2014 it took approximately one year to correct 50% of the real exchange rate gap due to oil prices permanent change. From November 2014 the real exchange rate adapts to oil price shocks almost instantly. The estimate of long-run elasticity of the real exchange rate on real oil prices is 0.33.

Real exchange rate misalignment and economy

2019 ◽  
Vol 46 (1) ◽  
pp. 211-227 ◽  
Author(s):  
Hock Tsen Wong
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Manufacturing Sector ◽  
Economic Sectors ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Exchange Rate Misalignment ◽  
Productivity Differential ◽  
The Impact

PurposeThe purpose of this paper is to examine the impact of real exchange rate misalignment on economy and economic sectors, namely construction, manufacturing and mining and quarrying in Malaysia.Design/methodology/approachThe equilibrium real exchange rate and economic models are estimated using the autoregressive distributed lag approach.FindingsAn increase in productivity differential or reserve differential will lead to an appreciation of real exchange rate in the long run. An increase in positive (negative) real exchange rate misalignment will lead to an increase (decrease) in economy. An increase in long-run real exchange rate misalignment will lead to a decrease in economy. Real exchange rate misalignment or long-run real exchange rate misalignment can influence the manufacturing sector in Malaysia. More specifically, undervaluation will promote whereas overvaluation will hurt the manufacturing sector.Originality/valueReal exchange rate misalignment can be a policy to influence economy but may not be the best choice.

Open Door System and Endogenous Growth in Indian Economy: An Empirical Analysis on the Role of Human Capital and R&D in Explaining Industrial Productivity

2021 ◽  
Vol 46 (1) ◽  
pp. 24-37
Author(s):  
Arjun K. ◽  
Sanjay Kumar ◽  
A. Sankaran ◽  
Mousumi Das
Keyword(s):  
Human Capital ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Endogenous Growth ◽  
Value Added ◽  
Capital Formation ◽  
Knowledge Capital ◽  
Test Technique ◽  
Long Run ◽  
The Impact

The present study investigates the impact of human capital, knowledge capital which is a function of human capital, and real exchange rate scenario in explaining long-run industrial total factor productivity (TFP) from 1980 to 2015 on the theoretical basis of the open endogenous growth model. The variables employed in the contemporary study include manufacturing value added (MNVA) as industrial output measure, gross fixed capital formation (GFCF) as a measure of capital and labour input which is measured using employment data. Gross enrolment ratio (GER) is taken as a measure for human capital formation, expenditure on research and development (R&D) as a proxy for knowledge capital, and real exchange rate indicates global economic shocks. The study involves estimating TFP for Industrial Sector during the post-liberalization period by employing Cobb-Douglas production function. The ARDL bounds test technique for cointegration revealed long-run relation among the varying factors studied. The Toda-Yamamoto causality test concluded bi-directional causality running between, R&D expenditure and Industrial TFP which sends a strong signal to the policymakers for a well-framed long-term integrated approach for human & knowledge capital formation which will act as a strong impetus for manufacturing firms to come up in terms of augmenting production and productivity and expanding foreign market horizon. JEL Classification: D24, E2, J24

The real equilibrium exchange rate in a commodity­exporting economy: the experience of Azerbaijan

2021 ◽  
pp. 25-38
Author(s):  
Vusal Gasimli ◽  
Vusala Jafarova
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Oil Prices ◽  
Exchange Rate Policy ◽  
Current Account Balance ◽  
Equilibrium Exchange Rate ◽  
Long Run ◽  
Equilibrium Exchange ◽  
Rate Policy ◽  
Relative Productivity

The case of Azerbaijan serves to study the adequacy of exchange-rate policy in a resource-rich economy. This paper analyses the behavior of Azerbaijan’s external accounts over the past twenty years. Declining oil prices made an existing exchange-rate peg unsustainable and led to a large devaluation in 2015. Since then, the current account balance has improved, but by less than expected. We use the EBA-Lite method to derive regression-based estimates of the equilibrium real exchange rate, and relate misalignments to measures of “policy gaps”. Our findings suggest that only a few years after the devaluation, Azerbaijan’s currency has once more become overvalued. Moreover, the equilibrium real exchange rate is volatile and hardly compatible with a long-run exchange rate peg. Exchange rate policy should try to accommodate shifts in the fundamental determinants such as relative productivity and real oil prices.

Does Ban on Futures trading (de)stabilise spot volatility?

2019 ◽  
Vol 9 (2) ◽  
pp. 145-166 ◽  
Author(s):  
Neharika Sobti
Keyword(s):  
Granger Causality ◽  
Price Discovery ◽  
Futures Trading ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Spot Volatility ◽  
Non Parametric

Purpose The purpose of this paper is to ascertain the possible consequences of ban on futures trading of agriculture commodities in India by examining three critical issues: first, the author explores whether price discovery dominance changes between futures and spot in the pre-ban and post-relaunch phase both in the long run and short run. Second, the author examines the impact of ban and relaunch of futures trading on its underlying spot volatility for five sample cases of agriculture commodities (Wheat, Sugar, Soya Refined Oil, Rubber and Chana) using both parametric and non-parametric tests. Third, the author revisits the destabilization hypothesis in the light of ban on futures trading by examining the impact of unexpected component of liquidity of futures on spot volatility. Design/methodology/approach The author uses widely adopted methodology of co-integration to examine long-run relationship between spot and futures, while the short-run relationship is investigated using vector error correction model (VECM) and Granger causality to test price discovery in the pre-ban and post-relaunch phases. The second objective is explored using a combination of parametric and non-parametric tests such as Welch one-way ANOVA and Kruskal–Wallis test, respectively, to gauge the impact of ban on futures trading on spot volatility along with post hoc tests to investigate pairwise comparison of spot volatility among three phases (pre-ban, ban and post-relaunch) using Dunn Test. In addition, extensive robustness test is undertaken by adopting augmented E-GARCH model to ascertain the impact of ban and relaunch of futures trading on spot volatility. The third objective is investigated using Granger causality test between spot volatility and unexpected component of liquidity of futures estimated using Hodrick and Prescott (HP) filter to re-visit the destabilization hypothesis. Findings The author found extensive evidence for the dominance of futures market in the price discovery of agriculture commodities both in the pre-ban and post-relaunch phases in India. The ban on futures trading is found to have a destabilizing impact on spot volatility as evident from the findings of Wheat, Sugar and Rubber. In addition, it is observed that spot volatility was highest during the ban phase as compared to the pre-ban and post-relaunch phases for all four commodities barring Chana. The author found that destabilisation hypothesis holds true during the pre ban phase, while weakening of destabilization hypothesis is observed in the post-relaunch phase as unexpected futures liquidity has no role in driving the spot volatility. Originality/value This study is a novel attempt to empirically examine the potential impact of ban and relaunch of futures trading of agriculture commodities on two key market quality dimensions – price discovery and spot volatility. In addition, destabilization hypothesis is revisited to investigate the impact of futures trading on spot volatility during the pre-ban and post-relaunch period.

scholarly journals Do High Oil Prices Obstruct the Transition to Renewable Energy Consumption?

2020 ◽  
Vol 12 (11) ◽  
pp. 4689 ◽  
Author(s):  
Shahriyar Mukhtarov ◽  
Jeyhun I. Mikayilov ◽  
Sugra Humbatova ◽  
Vugar Muradov
Keyword(s):  
Economic Growth ◽  
Renewable Energy ◽  
Energy Consumption ◽  
Negative Impact ◽  
Oil Prices ◽  
Oil Price ◽  
Renewable Energy Consumption ◽  
Long Run ◽  
Carbon Dioxide Co2 ◽  
The Impact

The study analyzes the impact of economic growth, carbon dioxide (CO2) emissions, and oil price on renewable energy consumption in Azerbaijan for the data spanning from 1992 to 2015, utilizing structural time series modeling approach. Estimation results reveal that there is a long-run positive and statistically significant effect of economic growth on renewable energy consumption and a negative impact of oil price in the case of Azerbaijan, for the studied period. The negative impact of oil price on renewable energy consumption can be seen as an indication of comfort brought by the environment of higher oil prices, which delays the transition from conventional energy sources to renewable energy consumption for the studied country case. Also, we find that the effect of CO2 on renewable energy consumption is negative but statistically insignificant. The results of this article might be beneficial for policymakers and support the current literature for further research for oil-rich developing countries.

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