scholarly journals Oil Price Volatility and Real Effective Exchange Rate: The Case of Thailand

2014 ◽  
Author(s):  
Komain Jiranyakul
Keyword(s):  
Exchange Rate ◽  
Price Volatility ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Oil Price Volatility ◽  
Effective Exchange ◽  
Effective Exchange Rate

scholarly journals Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015)

2016 ◽  
Vol 9 (1) ◽  
pp. 62-80 ◽  
Author(s):  
Waheed Ibrahim
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Terms Of Trade ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Abstract This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2), nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price) is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

scholarly journals Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis.

2011 ◽  
Vol 50 (4II) ◽  
pp. 491-511 ◽  
Author(s):  
Muhammad Arshad Khan ◽  
Ayaz Ahmed
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Food Price ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Impulse Response Functions ◽  
Price Shocks ◽  
Effective Exchange ◽  
Effective Exchange Rate

This study examines the transmission channels through which the global food and oil price shocks affects selected macroeconomic variables including inflation rate, output, money balances, interest rate and real effective exchange rate for Pakistan using monthly data over the period 1990M1-2011M7. An empirical analysis is carried out by employing structural vector autoregressive (SVAR) framework. Generalised Impulse Response Functions and Generalised Forecast Variance Decompositions are employed to track the impact of oil and food price shocks to Pakistan‘s economy. Results suggest that oil price shock affects industrial production, appreciates real effective exchange rate negatively and affect inflation and interest rate positively. Whereas, following food price shocks, industrial output increases. Similarly, interest rate and inflation rate responds positively following food price shocks. However, the variation in interest rate due to food price shock is relatively larger than that of oil price shocks. Generalised impulse response functions reveal that real effective exchange rate is most important source of disturbances following either oil price or food price shocks. Generalised forecast variance decompositions analysis also supports the findings based on generalised impulse response functions. The result clearly reveals that oil and food price shocks significantly affect output, short-term interest rate, inflation rate and real effective exchange rate. However, among all, real effective exchange rate has seen a dominant source of variations in Pakistan. This implies that supply-side and demand-side disturbances originated by external shocks are the major sources of inflation (stagflation) in Pakistan. Keywords: Oil and Food Price Shocks, SVAR, GIRFs, GFEVDs, Pakistan

scholarly journals Effects of Oil Price Shocks on the Ghanaian Economy

2016 ◽  
Vol 64 (1) ◽  
pp. 315-324
Author(s):  
Dennis Nchor ◽  
Václav Klepáč ◽  
Václav Adamec
Keyword(s):  
Exchange Rate ◽  
Government Expenditure ◽  
Value Added ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

The economy of Ghana is highly vulnerable to fluctuations in the international price of crude oil. This is due to the fact that oil as a commodity plays a central role in the economic activities of the nation. The objective of this paper is to investigate the dynamic relationship between oil price shocks and macroeconomic variables in the Ghanaian economy. This is achieved through the use of Vector Autoregressive (VAR) and Vector Error Correction (VECM) models. The variables considered in the study include: real oil price, real government expenditure, real industry value added, real imports, inflation and the real effective exchange rate. The study points out the asymmetric effects of oil price shocks; for instance, positive as well as negative oil price shocks on the macroeconomic variables used. The empirical findings of this study suggest that both linear and nonlinear oil price shocks have adverse impact on macroeconomic variables in Ghana. Positive oil price shocks are stronger than negative shocks with respect to government expenditure, inflation and the real effective exchange rate. Industry value added and imports have stronger responses to negative oil price shocks. Positive oil price shocks account for about 30% of fluctuations in government expenditure, 5% of imports, 6% of industry value added, 17% of inflation and 2% of the real effective exchange rate in the long run. Negative oil price shocks account for about 8% of fluctuations in government spending, 20% of imports, 8% of inflation and 2% of the real effective exchange rate in the long run. The data was obtained from the United States Energy Information Administration and the World Bank’s World Development Indicators.

scholarly journals The effects of world crude oil price on the real effective exchange rate: empirical evidences from Vietnam

2019 ◽  
Vol 177 (5-6) ◽  
pp. 53-69
Author(s):  
Tu Chuc Anh ◽  
◽  
Thuy Nguyen Thu ◽  
Thuy Truong Thi ◽  
Ngo Chi Thanh ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

scholarly journals A Non-Linear Analysis of the Oil Price-Exchange Rate Nexus in Nigeria

2016 ◽  
Vol 8 (4(J)) ◽  
pp. 79-91
Author(s):  
Olagbaju Ifeolu O. ◽  
Akinbobola Temidayo O.
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Non Linear ◽  
Domestic Prices ◽  
Effective Exchange ◽  
Pass Through ◽  
Effective Exchange Rate

This paper studies the effect of oil price shocks on the Nigerian exchange rate on the basis of monthly data over the period January, 2008 to October, 2015. In order to explore the effects of oil prices on the competitiveness of the Nigerian currency, which had hitherto attracted little attention in literature, the paper adopts the real effective exchange rate measure within a five-variable VAR model, analysed using both linear and non-linear approaches. We find evidence of a non-linear impact of oil prices on real effective exchange rate. Specifically, decreases in oil price are found to have an appreciating impact on real effective exchange rate, implying a loss of competitiveness of the Naira, while increases in oil price are found to be irrelevant for movements in the real effective exchange rate. Our study also suggests a link between Naira depreciation and the real effective exchange rate appreciation through a pass-through effect on rising domestic prices.

scholarly journals MEKANISME TRANSMISI GONCANGAN HARGA MINYAK DAN HARGA PANGAN DUNIA TERHADAP PEREKONOMIAN MAKRO INDONESIA: PENDEKATAN STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR)

2017 ◽  
Vol 11 (2) ◽  
Author(s):  
Abdul Khaliq
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Industrial Production ◽  
Food Price ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Price Shocks ◽  
Price Shock ◽  
Effective Exchange ◽  
Effective Exchange Rate

<p>This study examines the transmission channels of oil and food price shocks to selected Indonesian macroeconomic variables including Indonesia industrial production index, world interest rate, inflation, domestic interest rate, real effective exchange rate, and Jakarta Composite Index using monthly data over the period 2001M01-2013M08. An empirical analysis is carried out by utilizing structural vector autoregressive (SVAR) framework. Impulse response functions (IRFs) and forecast variance decompositions (FEVDs) are employed to track the impact of oil and food price shock to Indonesian economy. The empirical findings of IRFs suggest that oil price shock negatively affects industrial production, depreciates real effective exchange rate, increases inflation and interest rate, and negatively affects aset price. However, following food price shocks, industrial production increases, depreciates real effective exchange rate, increase stock return. Moreover, inflation and interest rate respond positively following food price shocks. The FEVDs results clearly reveals that the variation in industrial production growth, inflation, interest rate, real effective exchange rate, and aset price due to oil price shock is relatively larger than the food price shocks. This implies that oil price is most important source of disturbances in Indonesian macroeconomy. As a whole, this study recommend that world oil and food price should be considered for policy analysis and forecasting an Indonesian macroeconomy.<br />Key Words : Oil and food price shocks, SVAR, IRFs, FEVDs, Indonesia</p>

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