scholarly journals ANALYSIS OF THE ASYMMETRIC RELATIONSHIP BETWEEN OIL PRICES AND REAL EFFECTIVE EXCHANGE RATE IN KAZAKHSTAN

2021 ◽  
Vol 11 (4) ◽  
pp. 345-351
Author(s):  
Aktolkin Abubakirova ◽  
Lyazzat Kudabayeva ◽  
Gulnar Abdulina ◽  
Aliya Zurbayeva ◽  
Indira Tazhiyeva
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Effective Exchange Rate

A FORECASTING APPROACH TO REAL EFFECTIVE EXCHANGE RATE-OIL PRICE NEXUS IN CHINA

2020 ◽  
pp. 1-17
Author(s):  
HAMID BAGHESTANI ◽  
SEHAR FATIMA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Moving Average ◽  
Real Exchange Rates ◽  
Oil Prices ◽  
Exchange Rate Policy ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Rate Policy ◽  
Effective Exchange Rate

Motivated by the theoretical link between real exchange rates and oil prices, we utilize a univariate moving average (MA) and an augmented MA (A-MA) model to generate multi-period forecasts of China’s real effective exchange rate for 2008–2018. The MA model utilizes past information in real exchange rates, and the A-MA model utilizes past information in both real exchange rates and oil prices. We show that the A-MA forecasts are unbiased and embody useful predictive information beyond that contained in the MA forecasts. In addition, the A-MA forecasts are directionally accurate under asymmetric loss. Such accurate forecasts are useful as inputs for policymakers to design an optimal real exchange rate policy to promote trade and attract foreign investment, and for foreign entities that regard China as an attractive environment for investing in various sectors.

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 Dependence on Oil Prices of Russian Stock Market

2016 ◽  
Author(s):  
Dilek Özdemir ◽  
Özge Buzdağlı ◽  
Murat Akdağ ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Structural Breaks ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Real Money ◽  
Effective Exchange ◽  
Russian Stock Market ◽  
Effective Exchange Rate

In the period after transition, economically full-liberal policy implementations applied by Russia Federation has been taken attention as cyclical movement. No variations of goods are said to be effective about the main reasons about cyclical movement in liberalization. As a kind of indicator of the Russian economy, stock market’s sensitivity to oil prices analyzed. In this context, especially change of oil prices, exchange rate and money supply effects on Russia are analyzed for the period of 1996M1-2015M12. Stationarity of the series is investigated by Lee and Strazicich (2003) unit root test with multiple structural breaks, existence of cointegration relation between series is tested by Maki (2012) method of cointegration with multiple structural break, and cointegration coefficients are predicted with Dynamic Ordinary Learst Square-DOLS method. Furthermore, causality relations between series are investigated by Hacker and Hatemi-J (2012) symmetric causality test. As a result, Russian stock market is positively affected by oil prices, real effective exchange rate and real money supply. Also causality tests showed that bidirectional causality relation found on stock market with oil prices and real effective exchange rate, and unidirectional causality from real money supply to stock market.

The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework

2013 ◽  
Vol 40 ◽  
pp. 714-733 ◽  
Author(s):  
Aviral Kumar Tiwari ◽  
Mihai Ioan Mutascu ◽  
Claudiu Tiberiu Albulescu
Keyword(s):  
Exchange Rate ◽  
Wavelet Transform ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

scholarly journals Currency Depreciation, Trade Balance and Intra-Industry Trade Interactions in Turkey’s OECD Trade

2016 ◽  
Vol 8 (4) ◽  
pp. 8 ◽  
Author(s):  
Mehmet Demiral
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Adjustment Process ◽  
Industry Trade ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p>This study re-examines the determinants of Turkey’s trade balance in its manufactures trade with 33 OECD-member countries for the short-run and the long-run. Unlike other studies, in the relationships we also control the moderating effects of the availability of import substitutes proxied by intra-industry trade. We analyze quarterly aggregated time-series data of the period spanning from 1998.QI to 2015.QIII, following the autoregressive distributed lag (ARDL) bounds testing approach to the cointegration and the error correction modeling. Estimation results reveal that real effective exchange rate, together with domestic and foreign incomes are still among the core determinants of Turkey’s trade balance in the manufacturing sectors. There is no significant impact of domestic final oil prices that also include all the taxes on gasoline. The trade balance depends on domestic income negatively and the aggregated income of the OECD countries positively. The finding that real depreciation of Turkish lira against to those of Turkey’s OECD trade partners improves trade balance in both the short-run and the long-run, indicates no evidence of J-curve adjustment process. Unsurprisingly, the intra-industry trade seems to be an important factor that moderates the elasticities of trade balance to its determinants, especially to real effective exchange rate and domestic income. Overall results underline the importance of import-substitution capability besides the export-oriented production to ease the longstanding large trade deficits for Turkey.</p><strong></strong>

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