scholarly journals Oil Price And Real Exchange Rate: The Case Of India

2014 ◽  
Vol 13 (4) ◽  
pp. 809 ◽  
Author(s):  
Neetu Kaushik ◽  
Raja Nag ◽  
Kamal P. Upadhyaya
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rates ◽  
Real Exchange Rate ◽  
Price Change ◽  
Oil Price ◽  
Series Data ◽  
The Real ◽  
Indian Rupee ◽  
The U.S

This paper studies the effect of oil price change on the real exchange rate between the Indian rupee and the U.S. dollar. For that, a model is developed which is based on a monetary model of exchange rate which incorporates the real GDP, real money balances, and the interest rates of both the home and foreign country and the real price of the crude oil. Quarterly time series data from 1996 to 2012 is used. Before estimating the model, the time series properties of the data are diagnosed in order to ensure the stationarity of the data. The data series are found to be integrated of order one and the null hypothesis of no cointegration is rejected. Therefore an error correction model is developed and estimated. The estimated results suggest that there is no detectable effect of oil price change on the real exchange rate between the Indian rupee and the U.S. dollar.

scholarly journals Exchange Rate Misalignment and Economic Growth in Pakistan: The Role of Financial Development

2020 ◽  
Vol 59 (1) ◽  
pp. 81-99
Author(s):  
Zainab Jehan ◽  
Iffat Irshad
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Financial Development ◽  
Adverse Impact ◽  
Series Data ◽  
Development Economic ◽  
Exchange Rate Misalignment ◽  
The Impact

This study endeavours to examine empirically how real exchange rate (RER) misalignment affects economic growth in Pakistan. In this regard, we have not only estimated the direct impact but also the indirect impact of misalignment on economic growth by using the financial development channel. We have used time series data ranging from 1980 to 2016 to carry out the empirical analysis. After testing the time series properties of the selected variables, we computed long run equilibrium RER later used to calculate RER misalignment. Finally, we estimated the impact of misalignment on per capita economic growth, both direct and indirect. Our results reveal an adverse impact of RER misalignment on economic growth. However, we report that financial development helps in minimising the adverse impact of RER misalignment, though not fully eliminating it. Based on the empirical findings, the study suggests that exchange rate policies need to be managed more cautiously. Moreover, the financial sector development needs to be strengthened which may help in fully alleviating the adverse impact of RER misalignment on economic growth. JEL Classification: F31, GOO, O47 Keywords: Real Exchange Rate Misalignment, Financial Development, Economic Growth, FMOLS

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)

scholarly journals Oil volatility pass through and real exchange misalignment in leading commodity exporting countries

2020 ◽  
Vol 71 (6) ◽  
pp. 579-606
Author(s):  
Nicola Rubino
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Goodness Of Fit ◽  
Real Exchange Rates ◽  
Commodity Prices ◽  
Price Volatility ◽  
Oil Price ◽  
Price Variation ◽  
The Real ◽  
Speed Of Adjustment

Past research has shown how real Exchange rates follow a univariate nonlinear process that approximates their behavior in terms of transaction costs. However, little or nothing has been said about alternative sources of nonlinearity in commodity exporting countries. Our paper investigates the missing link between the Real Exchange Rate Commodity Prices equilibrium by employing an oil price volatility measure as an external source of short-term fluctuations. Our estimates show that the Real Exchange Rate Commodity price relationship appears to be nonlinear with respect to oil price variation, and that the goodness of fit of the nonlinear specifications appears to outperform that of the equivalent linear models. The equilibrium speed of adjustment appears to be different in the two branches of the relationship: in the majority of the threshold models, the negative volatility regime presents a faster speed of adjustment and in some cases a most significant one.

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