Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia

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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Analysis of World Crude Palm Oil Prices on the Real Exchange Rate: A Case Study of Indonesia and Malaysia

International Centre of Economics, Humanities and Management (ICEHM) May 29-30, 2015 London (UK) ◽

10.15242/icehm.ed0515510 ◽

2015 ◽

Keyword(s):

Exchange Rate ◽

Real Exchange Rate ◽

Palm Oil ◽

Oil Prices ◽

Crude Palm Oil ◽

The Real

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Oil Prices and the Real Exchange Rate in Nigeria

International Journal of Economics and Finance ◽

10.5539/ijef.v4n6p198 ◽

2012 ◽

Vol 4 (6) ◽

Author(s):

Victor E. Oriavwote ◽

Nathanael O. Eriemo

Keyword(s):

Exchange Rate ◽

Real Exchange Rate ◽

Oil Prices ◽

The Real

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AN EMPIRICAL STUDY ON THE DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND NIGERA STOCK MARKET

International Journal of Research -GRANTHAALAYAH ◽

10.29121/granthaalayah.v4.i9.2016.2550 ◽

2016 ◽

Vol 4 (9) ◽

pp. 157-169

Author(s):

Rabia Najaf ◽

Khakan Najaf

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Stock Exchange ◽

Oil Prices ◽

Securities And Exchange Commission ◽

Exchange Rate Policy ◽

Trading System ◽

Dynamic Relationship ◽

Crude Oil Prices ◽

Oil Crisis

In this paper, we have examined the crude oil price on the performance of Nigerian stock exchange and exchange rate act as the plausible countercyclical tool .we have applied the different models and collected the results that crude oil prices have direct impact on the stock exchange of Nigeria. The Nigeria stock exchange is regulated by the Securities and Exchange Commission .Nigeria stock exchange has the automated trading system. The basic facility of Nigeria trading system is (ATS),it is helpful to remote trading system.Consequently, most of the investorsdo trade with the method of ATS.This study is also proving that Nigeria stock exchange has influenced on the performance of the economy, Impact of oil crisis on the Nigeria stock exchange, Impact of crude oil crisis on the development of country, Effect of exchange rate policy on the performance of Nigeria stock exchange.

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

Bussecon Review of Social Sciences (2687-2285) ◽

10.36096/brss.v3i3.296 ◽

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.

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