scholarly journals Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks

Energies ◽  
2020 ◽  
Vol 13 (9) ◽  
pp. 2395
Author(s):  
Yue Liu ◽  
Pierre Failler ◽  
Jiaying Peng ◽  
Yuhang Zheng
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Structural Breaks ◽  
Oil Prices ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Price Shocks ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
The U.S

This paper examines the dynamic relationship between crude oil prices and the U.S. exchange rate within the structural break detection context. Based on monthly data from January 1996 to April 2019, this paper identifies structural breaks in movements of oil price and examines the dynamic relationship between crude oil prices and the U.S. exchange rate movement by introducing the economic policy uncertainty and using the TVP-VAR (Time-Varying Parameter-Vector Auto Regression ) model. Empirical results indicate that shocks to crude oil prices have immediate and short-term impacts on movements in the exchange rate which are emphasized during the confidence intervals of structural breaks. Oil price shocks and economic policy uncertainty are interrelated and influence movements in the U.S. exchange rate. Since the U.S. dollar is the main currency of the international oil market and the U.S. has become a major exporter of crude oil, the transmission of price shocks to the U.S. exchange rate becomes complicated. In most cases, the relationship between oil prices and the U.S. exchange rate movements is negative.

scholarly journals AN EMPIRICAL STUDY ON THE DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND NIGERA STOCK MARKET

2016 ◽  
Vol 4 (9) ◽  
pp. 157-169
Author(s):  
Rabia Najaf ◽  
Khakan Najaf
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Exchange ◽  
Oil Prices ◽  
Securities And Exchange Commission ◽  
Exchange Rate Policy ◽  
Trading System ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Oil Crisis

In this paper, we have examined the crude oil price on the performance of Nigerian stock exchange and exchange rate act as the plausible countercyclical tool .we have applied the different models and collected the results that crude oil prices have direct impact on the stock exchange of Nigeria. The   Nigeria stock exchange is regulated by the Securities and Exchange Commission .Nigeria stock exchange has the automated trading system. The basic facility of Nigeria trading system is (ATS),it is helpful to remote trading system.Consequently, most of the investorsdo trade with the method of ATS.This study is also proving that Nigeria stock exchange has influenced on the performance of the economy, Impact of oil crisis on the Nigeria stock exchange, Impact of crude oil crisis on the development of country, Effect of exchange rate policy on the performance of Nigeria stock exchange.

Common Trends and Common Cycles in Oil Price and Real Exchange Rate

2014 ◽  
Vol 14 (2) ◽  
pp. 249-263 ◽  
Author(s):  
Hem C. Basnet ◽  
Puneet Vatsa ◽  
Subhash Sharma
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Real Exchange Rates ◽  
Oil Prices ◽  
Oil Price ◽  
Cycle Decomposition ◽  
The Real ◽  
Crude Oil Prices ◽  
Common Cycles

This study explores the long- and short-run movement between oil prices and the real exchange rates of two large oil-exporting countries – Canada and Norway. Cointegration and serial correlation common features tests are jointly used to identify the long-term common trend and short-term common cycles. Our test results find that oil prices and the real exchange rates of the Canadian Dollar and the Norwegian Krone have two shared trends and one shared cycle. The trend–cycle decomposition shows a great deal of positive comovement among the trend and cyclical components. The two currencies show economic dynamics very similar to crude oil prices. They do not exhibit any qualitative differences in the trajectory of the trend and cycles when controlling for different crude oil prices. Our results indicate that oil price fluctuations play significant role in explaining the exchange rate movements of oil-exporting countries.

scholarly journals Test for asymmetry on the ex-pump price of premium gasoline in Ghana, Kenya, and Colombia

2021 ◽  
Vol 4 (1) ◽  
pp. 73-89
Author(s):  
Senanu Kwasi Klutse ◽  
Gábor Dávid Kiss
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Dollar Exchange Rate ◽  
Fuel Prices ◽  
Crude Oil Prices ◽  
Long Run ◽  
The Us ◽  
Us Dollar

Once again, the World has been faced with an oil price shock as a result of the SARS-CoV-2 coronavirus pandemic. This has resurrected an old debate of whether retail fuel prices adjust significantly to either increases or decreases in international crude oil prices. With many countries moving towards the deregulation of their petroleum sub-sector, the impact of the US dollar exchange rate on retail fuel prices cannot be overlooked. This study investigates the rate at which positive and negative changes in international Brent crude oil prices and the US dollar exchange rate affected the increases or decreases in the ex-pump price of premium gasoline between February 2012 and December 2019. Using a non-linear auto-regressive distributed lag model, the exchange rate was found to play a significant role in fluctuations in the retail price of premium gasoline in Ghana and Colombia in the long run, howev-er, the rate of adjustment between the negative and positive changes was not significant, dispelling the perception of price asymmetry. There was no significant relationship between the ex-pump price of premium gasoline and the international Brent crude oil price in Ghana and Kenya in the long run. This study recommends that the aforementioned countries prioritise the creation of ex-change rate buffers to prevent exchange rate shocks that may affect retail fuel prices.

scholarly journals The Impact of Oil Price Shocks on Oil-Dependent Countries’ Currencies: The Case of Azerbaijan and Kazakhstan

2021 ◽  
Vol 14 (9) ◽  
pp. 431
Author(s):  
Katarzyna Czech ◽  
Ibrahim Niftiyev
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Impulse Response Functions ◽  
The Caspian Sea ◽  
Crude Oil Prices ◽  
The Impact ◽  
The Relationship

The paper aims to assess the relationship between Azerbaijani and Kazakhstani exchange rates and crude oil prices volatility. The study applies the structural vector autoregressive (SVAR) model. The paper concentrates on Azerbaijan and Kazakhstan, the post-Soviet countries considered as some of the most oil-dependent countries in the Caspian Sea region. The impulse response functions suggest that the rise of crude oil prices is associated with the exchange rates decrease and thus with an Azerbaijani manat and Kazakhstani tenge appreciation against the U.S. dollar. Moreover, the results suggest that an oil price increase leads to the rise of Azerbaijani international reserves. However, the results are insignificant for the Kazakhstani foreign exchange reserves. Additionally, the study reveals a negative and significant relationship between crude oil prices and USD/KZT in both pre-crisis and the COVID-19 crisis periods. We reveal that the correlation has been stronger during the COVID-19 pandemic. However, the relationship is not significant in the case of the Azerbaijani manat. The USD/AZN exchange rate has been stable since 2017, and the first phase of the COVID-19 pandemic has not caused a change in the exchange rate and a weakening of the Azerbaijani currency, despite significant drops in crude oil prices.

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.

scholarly journals Oil and the Ruble: Collapse of Cointegration

2021 ◽  
Vol 13 (1) ◽  
pp. 58-74
Author(s):  
Boris I. Alekhin ◽  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Structural Breaks ◽  
Oil Prices ◽  
Oil Price ◽  
Crude Oil Price ◽  
Goods And Services ◽  
The Third ◽  
Commodity Export ◽  
The Impact

Oil still contributes around 30 % to Russia's commodity export earnings, therefore the impact of oil prices on Ruble's exchange rate is of current interest to Russian economists. Instruments of time series analysis were used to test a proposition that the Russian ruble’s exchange rate has become less dependent on Brent crude oil price in recent years. We obtained 1,095 weekly observations for years 2000 to 2020 were obtained from FINAM company website. Our empirical model is a linear regression of the ruble’s exchange rate on Brent crude oil price. The Bai-Perron test has identified three structural breaks in the data corresponding to four chronological regimes. The Engle-Granger cointegration test has found both the rate and the price to be non-stationary in all regimes while cointegration was found only in the third regime (September 12, 2011 – October 23, 2017). The main reasons for collapse of cointegration in the fourth regime (October 30, 2017 – December 28, 2020) are 1) successful efforts by oil-producing countries to curb oil production, 2) decline in Russian import of goods and services, 3) Bank of Russia’s contractionary monetary policy, 4) built-in exchange rate stabilizer activated by the budget rule, and 5) anti-Russian sanctions. Cointegration, as it turns out, comes and goes.

Oil price shocks and exchange rate in Nigeria

2015 ◽  
Vol 9 (1) ◽  
pp. 2-19 ◽  
Author(s):  
Musibau Adetunji Babatunde
Keyword(s):  
Exchange Rate ◽  
Empirical Studies ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
Crude Oil Prices ◽  
The Exchange Rate

Purpose – This study aims to examine the relationship between the oil price and the exchange rate for Nigeria between January 1997 and December 2012. Previous empirical studies revealed an ambiguous relationship between crude oil prices and exchange rates, a reason for exploring the differential effects of positive and negative oil price shocks on the exchange rate. Design/methodology/approach – Time series and structural analysis were used. Findings – The findings indicate different responses for the exchange rate with respect to positive and negative oil price shocks. Positive oil price shocks were found to depreciate the exchange rate, whereas negative oil price shocks appreciate the exchange rate. In addition, the asymmetric effects of positive and negative oil price shocks on the real exchange rate were not supported by the statistical evidences. The empirical results were robust to different specifications. Originality/value – To the best of the authors’ knowledge, this is the first paper to assess the differential impact of positive and negative oil price shocks and the role of oil prices in predicting the exchange rate over long horizons in Nigeria.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

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