The Role of Oil Price Shocks on Exchange Rates for 13 Asian Countries Asymmetric Evidence from Nonlinear ARDL and Generalized IRFs Approaches

2021 ◽  
Author(s):  
Xiang Zhang ◽  
Jungho Baek
Keyword(s):  
Exchange Rates ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Asian Countries ◽  
Price Shocks ◽  
Nonlinear Ardl

scholarly journals Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test

2018 ◽  
Vol 4 ◽  
pp. 624-637 ◽  
Author(s):  
Ekhlas Al-hajj ◽  
Usama Al-Mulali ◽  
Sakiru Adebola Solarin
Keyword(s):  
Stock Returns ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Nonlinear Ardl

scholarly journals On the Sources and Consequences of Oil Price Shocks: The Role of Storage

2012 ◽  
Vol 12 (270) ◽  
pp. 1 ◽  
Author(s):  
Deren Unalmis ◽  
Ibrahim Unalmis ◽  
D. Filiz Unsal ◽  
◽  
◽  
...  
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

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 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

Role of oil price shocks on macroeconomic activities: An SVAR approach to the Malaysian economy and monetary responses

Energy Policy ◽  
2011 ◽  
Vol 39 (12) ◽  
pp. 8062-8069 ◽  
Author(s):  
Huson Joher Ali Ahmed ◽  
I.K.M. Mokhtarul Wadud
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

On Oil Price Shocks: The Role of Storage

2012 ◽  
Vol 60 (4) ◽  
pp. 505-532 ◽  
Author(s):  
Deren Unalmis ◽  
Ibrahim Unalmis ◽  
Derya Filiz Unsal
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

Global Commodity and Oil Price Movements, Macroeconomic Performance and Challenges for an Emerging Economy: The Indian Experience

2018 ◽  
Vol 19 (3) ◽  
pp. 650-674 ◽  
Author(s):  
D. Tripati Rao ◽  
Saurabh Goyal
Keyword(s):  
Emerging Economy ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Macroeconomic Performance ◽  
Price Shocks ◽  
Price Fluctuations ◽  
Private Credit ◽  
The Impact

Commodity and oil price fluctuations have significant bearing on domestic macroeconomic performance and macroeconomic policymaking of an emerging economy. The article explores the impact of non-energy commodity and oil price fluctuations on output, inflation and real exchange rate (RER) in India; and commodity and oil constituting sizeable imports. The empirical analysis carried out through vector error correction model (VECM) for the post-liberalization period 1991–2014 clearly points out that commodity and oil price shocks have a significant impact on the variation in output and prices accounting for RER adjustment and the role of a developed financial market (private credit). The RER adjusts to commodity and oil price shocks, accounting for foreign exchange reserves and financial markets (private credit). The impulse response functions indicate that one standard deviation shock in commodity and oil price persists for three to eight quarters over domestic prices and output. While these results point to lessening of commodity and oil imports through a series of medium and long-term structural-cum-policy reform measures, in the immediate, they also lend a role of intervention by monetary authority (central bank) in pursuit of inflation targeting. Conjointly, pursuance of countercyclical fiscal policy to stabilize domestic output and prices in short run are called for.

Asymmetric effects of oil price shocks in oil-exporting countries: the role of institutions

2015 ◽  
Vol 39 (2) ◽  
pp. 222-246 ◽  
Author(s):  
Saeed Moshiri
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Asymmetric Effects

Reassessing the role of buffer stock money under oil price shocks

2001 ◽  
Vol 29 (1) ◽  
pp. 20-30
Author(s):  
Nicholas Apergis
Keyword(s):  
Buffer Stock ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks
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