Crude oil price, exchange rate and gross domestic product nexus in an emerging market: A cointegration analysis

This paper provides useful insights on the determinants of macroeconomic variables on Islamic stock index evidence from frontier market. The aims of this study is to examine the effect of macroeconomic variables namely gross domestic product (GDP), inflation (consumer price index), exchange rate (USD exchange rate), oil price (crude palm oil) and money supply (M2) on frontier market Islamic index (FMII). This study employs Fixed Effect (FE) model of 17 countries listed under FMII. The study cover a ten (10) years period from 2008 until 2017. The study have shown significant relationship between inflation, money supply and exchange rate with FMII and managed to reject null hypotheses for the three variables. Inflation and exchange rate is negatively related with FMII while money supply, gross domestic product and oil price is positively related to FMII. However, the study fails to find any significant relationship between gross domestic product and oil price with FMII. The findings of this study will provide better understanding on the frontier market and helps to improve their performance. Therefore, it can encourage countries in frontier market to be able to compete and achieve similar advancement as countries in developed and emerging market did.

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Exchange Rate Exposure and Crude Oil Price: The Case of an Emerging Market

Asian Academy of Management Journal of Accounting and Finance ◽

10.21315/aamjaf2018.14.2.7 ◽

2018 ◽

Vol 14 (2) ◽

pp. 157-184

Author(s):

Meen Chee Hong ◽

◽

Ei Yet Chu ◽

Saw Imm Song ◽

◽

...

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Emerging Market ◽

Oil Price ◽

Crude Oil Price ◽

Exchange Rate Exposure

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The Decline of Crude Oil Price Influence on the RON/EUR Exchange Rate

SSRN Electronic Journal ◽

10.2139/ssrn.3281887 ◽

2018 ◽

Author(s):

Ramona Dumitriu ◽

Razvan Stefanescu

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Oil Price ◽

Crude Oil Price

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The Effects of Crude Oil Price Volatility, Stock Price, Exchange Rate and Interest Rate on Malaysia’s Economic Growth

Advances in Cross-Section Data Methods in Applied Economic Research - Springer Proceedings in Business and Economics ◽

10.1007/978-3-030-38253-7_48 ◽

2020 ◽

pp. 717-731

Author(s):

Farah Rahim ◽

Zarinah Hamid

Keyword(s):

Economic Growth ◽

Exchange Rate ◽

Interest Rate ◽

Crude Oil ◽

Stock Price ◽

Price Volatility ◽

Oil Price ◽

Crude Oil Price ◽

Oil Price Volatility

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Impacts of Falling Crude Oil Prices and Reduction of Energy Subsidies on the Indian Economy: A CGE Modelling Approach

Vision The Journal of Business Perspective ◽

10.1177/0972262916668741 ◽

2016 ◽

Vol 20 (4) ◽

pp. 345-360

Author(s):

Amrita Ganguly ◽

Koushik Das

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Oil Price ◽

Cash Transfer ◽

Crude Oil Price ◽

Transfer Scheme ◽

Indian Economy ◽

Cge Modelling ◽

The Impact ◽

Energy Subsidy

This study analyzes the impacts of international crude oil fluctuations and energy subsidy (on LPG, petrol and diesel) removals on Indian economy. We have applied computable general equilibrium (CGE) modelling as our relevant methodology, following Shoven and Whalley ( J Econ Lit XXII: 1007–1051, 1984) based on energy social accounting matrix (ESAM) of India for the year 2007–2008. It is seen that the international crude oil price fluctuations has a greater effect in determining gross domestic product (GDP) and exchange rate as compared to the effect of energy subsidy removal. With decrease in international crude oil price, GDP increases and exchange rate appreciates. On the other hand, with decrease in energy subsidy, GDP decreases and exchange rate appreciates. Moreover, with introduction of direct cash transfer scheme in lieu of subsidy for LPG, it is seen that the impact on demand of LPG (substitution effect) is negligible indicating that LPG is an essential commodity.

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