Modeling the real ruble exchange rate under monetary policyregime change

2017 ◽  
pp. 61-78 ◽  
Author(s):  
A. Polbin
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Structural Break ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Policy Regime ◽  
The Real ◽  
Long Run

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and real oil prices. The VECM model takes into account the structural break in short-term parameters due to the Bank of Russia monetary policy regime change in November 2014. Estimates show that the real exchange rate response to oil price shocks has dramatically changed. Before November2014 it took approximately one year to correct 50% of the real exchange rate gap due to oil prices permanent change. From November 2014 the real exchange rate adapts to oil price shocks almost instantly. The estimate of long-run elasticity of the real exchange rate on real oil prices is 0.33.

scholarly journals Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?

2021 ◽  
Vol 21 (1) ◽  
pp. 1-17
Author(s):  
Hicham Ayad
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Shocks ◽  
Oil Price Shocks ◽  
Asymmetric Effect ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Integration Analysis

Abstract Research background: The aim of this paper is to examine the long run relationship among oil prices and the Algerian Dinar exchange rate over the period January 1995–February 2020 in Algeria as one of the most important oil-exporting countries and one of the OPEC members. Purpose: This study investigated the co-integration relationship between oil prices and exchange rate in Algeria by testing the long-run relationship between the two variables and their positive and negative shocks. Research methodology: the study applied both the traditional co-integration analysis using Engle-Granger, Phillips-Ouliaris and Johansen-Juselius tests and the hidden co-integration presented by Granger and Yoon (2002). Results: The results revealed that there is no evidence of a co-movement and linkage between oil prices and exchange rate in Algeria over the period of study neither with the original series nor between the cumulative components whatever the dependent variable. Novelty: This paper fills in the missing link between the Algerian Dinar exchange rate and oil prices especially with the absence of the hidden co-integration analysis in the case of Algeria and most of the developing countries. To deal with the oil shocks according to Apergis and Miller (2007) and Narayan and Gupta (2015) studies where when they suggested distinguishing between the negative and positive oil price shocks because the asymmetric effect on the macroeconomic variables.

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

scholarly journals Structural Effect of Oil Price Shocks and Food Importation on Economic Growth in Nigeria Using SVAR Model

2017 ◽  
Vol 2 (1) ◽  
Author(s):  
Sani Abdulrahman Bala ◽  
Ali Alhassan
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Svar Model ◽  
Food Imports

The study empirically examines the effect of oil price shocks and food importation on economic growth in Nigeria along with two control variables i.e. exchange rate and inflation using Structural Vector Autoregressive (SVAR) Model covering the period of 1970 to 2015. The result from SVAR short-run pattern and long-run pattern indicate that GDP has recently been affected by all variables in the model. More also, it indicates a significant permanent effect of crude oil price shocks and food imports on economic growth, while the result further indicates a transitory effect of exchange rate and inflation on economic growth. For significant t-value of the long run SVAR estimate matrix, confirms long effect of crude oil price shocks, food imports, exchange rate and inflation on economic growth in Nigeria. The results from structural response indicate that crude oil have high positive impact on GDP at the initial period and negative impact at the end of the period. Furthermore, food imports have high negative effect on GDP, while GDP response negatively to exchange rate and inflation rate from the period. The result from the structural decompositions indicates that crude oil price and food imports and exchange rate contribute more variability to GDP, while inflation contribute less variability in explaining the variation of GDP in Nigeria. The study recommends that government should come up with a policy that will focus on alternative sources of government revenue by investing more in real sectors especially agriculture in order to withstand vicissitudes of oil shocks in future.

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.

Oil price and exchange rate nexus in Algeria: evidence from nonlinear asymmetric and frequency domain approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sidi Mohammed Chekouri ◽  
Abdelkader Sahed
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Frequency Domain ◽  
Granger Causality ◽  
Oil Prices ◽  
Oil Price ◽  
Wavelet Coherence ◽  
Content Type ◽  
Long Run ◽  
The Impact

Purpose This paper aims to examine the relationship between exchange rate and oil prices in Algeria over the period 2004Q1–2019Q4. Design/methodology/approach The nonlinear autoregressive distributed lag method is used to capture the potential asymmetric relationship among oil prices and the exchange rate. Frequency domain spectral Granger causality test is also applied to investigate the causal linkage between the two variables. The wavelet coherence is applied to analyze the evolution of this relationship both in time and frequency domains. Findings The empirical results reveal evidence of long-run asymmetric effects of oil price on Algeria’s real effective exchange rate (REER), implying that an increase in oil price causes a real exchange rate to appreciate, while a decrease in oil price leads to a real exchange rate to depreciate. More specifically, it is found that the impact of negative oil price shocks is higher than the one associated with positive shocks. The spectral Granger causality results further indicate that there is unidirectional causality running from oil price to REER in both medium and long run. The wavelet coherence findings provide evidence of some co-movement between the REER and oil price and point out that the oil price is leading real exchange rate in the medium and long terms. Originality/value This study contributes to the literature by investigating the asymmetric impact and the time domain causal linkage between oil price fluctuations and real exchange rate in Algeria.

An Empirical Analysis of Relative Oil Price Shocks and Chinese Net Processing Exports

2011 ◽  
Vol 347-353 ◽  
pp. 3098-3102 ◽  
Author(s):  
Ping Ma ◽  
Wei Yang Diao
Keyword(s):  
Granger Causality ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Monthly Data ◽  
Positive Effects ◽  
Endogenous Technological Change ◽  
Long Run ◽  
Short Run

This paper studies the effects of Chinese relative domestic oil prices on net processing exports. Using a set of monthly data ranging from 2002 to 2008, we identify a long-run equilibrium cointegrating relationship between the two inflationary series. The unidirectional short-run Granger causality is running from relative oil prices to net processing exports, while in the long-run, the Granger causality is bidirectional. What is noteworthy is that relative oil price shocks have long-run positive effects on Chinese net processing exports, indicating the existence of an energy cost-driven mechanism of endogenous technological change.

scholarly journals THE INFLUENCE OF OIL PRICES ON INDONESIA’S EXCHANGE RATE

2019 ◽  
Vol 21 (3) ◽  
pp. 303-322 ◽  
Author(s):  
Seema Wati Narayan ◽  
Telisa Falianty ◽  
Lutzardo Tobing
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Regime ◽  
Oil Prices ◽  
The Real ◽  
Float Exchange Rate ◽  
Long Run ◽  
The Us ◽  
Us Dollar

This study tests for a long-run relation between oil prices and the rupiah–US dollarexchange rate. We discover, first, that the long-run cointegration relation between oilprices and the real exchange rate (RER) is sensitive to different exchange rate regimesin Indonesia. Second, we find a long-run cointegrating relation between oil prices andthe RER over the float exchange rate regime. However, in the managed float period,there is no evidence of a long-run relation between oil prices and the RER. In the longrun, higher oil prices lead to an appreciation of the rupiah against the US dollar in thefloat period (post-August 1997 period). We demonstrate that these results are robust todifferent data frequencies.

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