scholarly journals Exchange Rates of Oil Exporting Countries and Global Oil Price Shocks: A Nonlinear Smooth-Transition Approach

2017 ◽  
Author(s):  
Alfred A. Haug ◽  
Syed Abul Basher
Keyword(s):  
Exchange Rates ◽  
Oil Price ◽  
Smooth Transition ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Transition Approach ◽  
Nonlinear Smooth

scholarly journals Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach

2019 ◽  
Vol 51 (48) ◽  
pp. 5282-5296 ◽  
Author(s):  
Alfred A. Haug ◽  
Syed Abul Basher
Keyword(s):  
Exchange Rates ◽  
Oil Price ◽  
Smooth Transition ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Transition Approach ◽  
Nonlinear Smooth

On the asymmetric response of the exchange rate to shocks in the crude oil market

2020 ◽  
Vol 14 (4) ◽  
pp. 839-852 ◽  
Author(s):  
Huthaifa Alqaralleh
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Crises ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Exchange Rate ◽  
Asymmetric Cointegration

Purpose This paper aims to investigate the nonlinear dynamics in the effects of oil price shocks on the exchange rate for a sample from the Group of Twenty (G20) over the period 1994:1-2019:1. Design/methodology/approach Using monthly time series data covering the period1994:1-2019:1, the author first use the non-parametric triples test of Randles et al. (1980) to ascertain the existence of asymmetric properties in the sample of exchange rates. Then the author used the nonlinear ARDL cointegration approach developed by Shin et al. (2014) to examine the reaction of these exchange rates to the oil price shocks. Findings This study has identified significant evidence that the exchange rate is asymmetrically distributed, with the effect that high appreciation of the exchange rate is followed by slower depreciation. The NARDL results support such asymmetry even more strongly because in the test the exchange rate is shown to react differently in the long term to positive and negative shocks in oil prices. Another major finding was that the speed of adjustment differed over the sample, as the cumulative dynamic multipliers effect highlighted. Research limitations/implications This change in direction and the employment of non-linear technique can be to obtain better insight into the model specification, which the author believes, will not only enhance the findings in the literature but also enhance forecasting and decision-making. Practical implications A practical implication of this change is the possibility that policymakers and participants concerned with exchange rate stability should intervene in the market to alleviate the unfavourable impact of oil price shocks on the exchange rate. Originality/value Addressing this nonlinear dynamic in the effects of oil price shocks on the exchange rate have at least the following two important reasons: asymmetry and regime change are types of nonlinearities that affect the market dynamics, especially, over marked sample period with such financial crises as the global financial crises of 2007, thereby violating the linear models. Adopting an asymmetric cointegration technique permits to incorporate cointegrated positive and negative components of the considered series.

scholarly journals On the Influence of Oil Price Shocks on Economic Activity, Inflation, and Exchange Rates

2013 ◽  
Vol 4 (2) ◽  
Author(s):  
Yasunori Yoshizaki ◽  
Shigeyuki Hamori
Keyword(s):  
Exchange Rates ◽  
Economic Activity ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

scholarly journals Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings

2020 ◽  
pp. 16-29
Author(s):  
Suma Mwankemwa ◽  
Isack Kibona ◽  
Aziza M. Said
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Crude Oil Prices ◽  
Negative Effect

This study investigated the nexus of crude oil price shocks and exchange rates of Tanzanian shillings (TSh) as an oil importing country. Using weekly series data for the period 01/01/2005 to 31/12/2015, Vector Autoregressive (VAR) model was employed to test the relationship of crude oil prices and Tanzanian exchange rates. In addition, Granger Causality was tested to check the causality of these two variables. The findings of this study show that oil prices granger causes the exchange rate of TSh while exchange rates of TSh cannot Granger cause the oil prices. Also, the impulse response functions revealed that crude oil price shocks initially had a significant negative effect on TSh, however, there was a slightly negative effect on crude oil starting from TSh as a granger causer. VAR results showed that all the coefficients of TSh do not significantly influence crude oil prices. Crude oil price coefficients had a negative significance towards explaining the variability of Tanzanian shillings’ exchange rates (TZS).This revealed that a change in oil prices would precede changes in TSh movements.

Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches

2020 ◽  
Vol 52 ◽  
pp. 101161 ◽  
Author(s):  
Yonghong Jiang ◽  
Qidi Feng ◽  
Bin Mo ◽  
He Nie
Keyword(s):  
Exchange Rates ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective

2020 ◽  
Vol 86 ◽  
pp. 104641 ◽  
Author(s):  
Shupei Huang ◽  
Haizhong An ◽  
Brian Lucey
Keyword(s):  
Exchange Rates ◽  
Oil Price ◽  
Dynamic Responses ◽  
Time Varying ◽  
Oil Price Shocks ◽  
Price Shocks

Dynamic connectedness of oil price shocks and exchange rates

2019 ◽  
Vol 84 ◽  
pp. 104501 ◽  
Author(s):  
Farooq Malik ◽  
Zaghum Umar
Keyword(s):  
Exchange Rates ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks
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