scholarly journals The Impact of Oil Shocks on Exchange Rates: The Case of Selected OPEC Countries

2021 ◽  
Vol 7 (2) ◽  
pp. 1
Author(s):  
Shahram Fattahi ◽  
Zainab Moridi ◽  
Rasoul Moridi
Keyword(s):  
Regression Model ◽  
Exchange Rates ◽  
Real Exchange Rates ◽  
Oil Shocks ◽  
Demand Shock ◽  
The Real ◽  
Quantile Regression Model ◽  
Supply Shock ◽  
Panel Quantile Regression ◽  
The Impact

OPEC countries are heavily dependent on oil dollar revenues through which impact on exchange rates. The purpose of this study is to investigate the effect of oil shocks on the real exchange rates for selected OPEC countries for the period 1980-2018. The oil shocks are first obtained using the vector auto-regression model and then their effects on the exchange rates are estimated using a panel quantile regression model. The results show that effect of oil shocks on exchange rates varies across quantiles. The oil specific-demand shock and global demand shock have a negative and significant effect on the real exchange rates while the oil supply shock has a positive and significant effect on the real exchange rates in OPEC countries. Furthermore, oil specific-demand shock has the most impact on the real exchange rates.

The Real Effects of Capital Inflows on Emerging Markets

2001 ◽  
Vol 04 (02) ◽  
pp. 165-202
Author(s):  
Robert Dekle ◽  
Cheng Hsiao ◽  
Siyan Wang
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Latin American ◽  
Real Exchange Rates ◽  
East Asian ◽  
Capital Inflows ◽  
Real Output ◽  
The Real ◽  
Real Effects ◽  
The Impact

We employ vector autoregression and cointegration estimation to examine the impact of net capital inflows on real exchange rates, output and real interest rates in several East Asian and Latin American economies during the 1990s. We find that increases in net capital inflows leads to appreciations of the real exchange rates in all the countries but have no impact on real output except for Thailand.

scholarly journals ON THE IMPACT OF REAL ESTATE PRICES ON THE DEVELOPMENT OF REGIONAL ECONOMY IN CHINA–AN ESTIMATION BASED ON PANEL QUANTILE REGRESSION MODEL

2021 ◽  
Vol 5 (2) ◽  
pp. 51-54
Author(s):  
Baili Zhang ◽  
Yadong Ma ◽  
Mengyue Yin ◽  
Zhengxun Li
Keyword(s):  
Economic Development ◽  
Real Estate ◽  
Quantile Regression ◽  
Regression Model ◽  
Marginal Effect ◽  
Quantile Regression Model ◽  
Panel Quantile Regression ◽  
Real Estate Prices ◽  
Impact Of Urbanization ◽  
The Impact

The paper analyzes the mechanism of real estate prices on economic development with panel quantile regression model. It is found that real estate prices can significantly promote economic development. Generally speaking, the contribution of real estate prices to economic development in regions with higher level of economic development is higher than that in regions with lower level. With the continuous improvement of the quantile, the impact of real estate prices has generally increased gradually, and the impact of urbanization level basically shows the law of diminishing marginal effect.

Exploring real exchange rate effects on trade balances in Thailand

2002 ◽  
Vol 28 (11) ◽  
pp. 16-27 ◽  
Author(s):  
Tantatape Brahmasrene ◽  
Komain Jiranyakul
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Foreign Currency ◽  
Bilateral Trade ◽  
Real Exchange Rates ◽  
The Real ◽  
Cointegration Tests ◽  
Non Linear ◽  
The Impact

This study investigates the impact of real exchange rates on the trade balances between Thailand and its major trading partners. Previous empirical evidence gave mixed results of the impact of real exchange rates on trade balances. In this study, Augmented Dicky‐Fuller and Phillips‐Perron tests for stationarity followed by the cointegration tests are implemented. All variables in the model are nonstationary but cointegrated. In cointegrating regressions, biases are introduced by simultaneity and serial correlation in the error. The specification that deals with these problems is the non‐linear specification of Stock and Watson (1989). By using this non‐linear model as modified by Reinhart (1995), the results show that the impact of real exchange rates (Thai baht/foreign currency) on trade balances is significant in most cases. Therefore, the generalized Marshall‐Lerner condition seems to hold. Furthermore, the results show that the real exchange rates play a more important role in the determination of the bilateral trade balances than other factors. Since the real exchange rate variable plays a major role in this study, the policy recommendation is to prevent exchange rate misalignment. A policy that can neutralize the changes in nominal exchange rates and relative prices should be introduced to prevent further deterioration of the trade balance.

scholarly journals The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model

ETIKONOMI ◽  
2021 ◽  
Vol 20 (2) ◽  
pp. 225-238
Author(s):  
Noreen Khalid ◽  
Raja Fawad Zafar ◽  
Qasim Raza Syed ◽  
Roni Bhowmik
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Regression Model ◽  
Stock Returns ◽  
Market Returns ◽  
Stock Market Returns ◽  
Quantile Regression Model ◽  
Heterogeneous Effects ◽  
Panel Quantile Regression ◽  
The Impact

The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.

South Africa’s Trade Performance under Alternative Exchange Rate Regimes

2018 ◽  
Vol 10 (6) ◽  
pp. 261
Author(s):  
Romaine Patrick ◽  
Phocenah Nyatanga
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Regime ◽  
Real Exchange Rates ◽  
Series Data ◽  
Growth Strategies ◽  
The Real ◽  
Real Price ◽  
Floating Exchange Rate

This study examined the effect exchange rates have on import and export volumes under alternative exchange rate policies adopted in South Africa over the period 1960 to 2017. Using quarterly time series data for the stated period, a log-linear error correction model is employed to estimate the country’s export and import elasticities, taking into account Gross Domestic Product (GDP), the real price of exports, the real price of imports and real exchange rates. Using the freely floating exchange rate regime as the base period, the study concluded that both export and import volumes are lower under a system of fixed exchange rates. Export and import volumes were also found to be lower under the dual exchange rate regime, relative to the freely floating exchange rate regime. In accordance with export-led growth strategies, exports were found to be higher and imports lower under a managed floating exchange rate regime. It is therefore recommended that South Africa revert to a more managed exchange rate regime, until the South African economy is developed to accommodate a freely floating exchange rate regime.

scholarly journals Boom Goes the Price: Giant Resource Discoveries and Real Exchange Rate Appreciation

2020 ◽  
Vol 130 (630) ◽  
pp. 1715-1728 ◽  
Author(s):  
Torfinn Harding ◽  
Radoslaw Stefanski ◽  
Gerhard Toews
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Direct Evidence ◽  
Oil And Gas ◽  
Real Exchange Rates ◽  
Labour Productivity ◽  
Dutch Disease ◽  
The Real ◽  
Traded Goods

Abstract We estimate the effect of giant oil and gas discoveries on bilateral real exchange rates. A giant discovery with the value of 10% of a country’s GDP appreciates the real exchange rate by 1.5% within ten years following the discovery. The appreciation starts before production begins and the non-traded component of the real exchange rate drives the appreciation. Labour reallocates from the traded goods sector to the non-traded goods sector, leading to changes in labour productivity. These findings provide direct evidence on the channels central to the theories of the Dutch disease and the Balassa–Samuelson effect.

scholarly journals The Oil Price and Trade Nexus in the Gulf Co-Operation Council Countries

Resources ◽  
2020 ◽  
Vol 9 (12) ◽  
pp. 139
Author(s):  
Tarek Tawfik Yousef Alkhateeb ◽  
Haider Mahmood
Keyword(s):  
Saudi Arabia ◽  
Exchange Rates ◽  
Real Exchange Rates ◽  
Oil Prices ◽  
The Real ◽  
Negative Effect ◽  
Asymmetrical Impact ◽  
Panel Estimates ◽  
Positive Effect ◽  
Country Specific

The present study investigates the asymmetrical impacts of oil prices and real exchange rates on the trade balances in the Gulf Co-operation Council countries. Using panel estimates, we found the symmetrical positive effect from the oil prices and the asymmetrical positive effect from the real exchange rates on the trade balances. For country-specific results, increasing oil prices showed a positive effect on the trade balances in Oman, Saudi Arabia, and the UAE and a negative effect in Kuwait. Decreasing oil prices carried a positive relationship with the trade balances in Bahrain, Oman, Qatar, and the UAE. The oil prices showed an asymmetrical impact on the trade balances in all countries, except Saudi Arabia. Moreover, the depreciation helped to improve the trade balances in Bahrain, Oman, Qatar, and the UAE. The appreciation worsened the trade balances in Oman, the UAE, and Saudi Arabia and improved the trade balance in Kuwait. Moreover, the asymmetrical relationships between the real exchange rates and the trade balances were corroborated in all of the investigated countries.

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