scholarly journals The Essence of Relationships between the Crude Oil Market and Foreign Currencies Market Based on a Study of Key Currencies

Energies ◽  
2021 ◽  
Vol 14 (23) ◽  
pp. 7978
Author(s):  
Marek Szturo ◽  
Bogdan Włodarczyk ◽  
Ireneusz Miciuła ◽  
Karolina Szturo
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Structural Changes ◽  
Oil Prices ◽  
Raw Material ◽  
Current Account Balance ◽  
Oil Market ◽  
The Us ◽  
Us Dollar

Structural changes occurring in the crude oil market have stimulated the emergence of hypotheses suggesting that the relationship between prices of this raw material and the US dollar exchange rate can gradually become similar to that observed between oil prices and exchange rates of the currencies of the countries whose revenues from the export of this resource are a significant part of their current account balance. The purpose of this study was to determine and evaluate the time-varying dependence between oil prices and the exchange rate of the US dollar in the context of the same relationship for the Chinese, European, Japanese, Saudi, and Russian currencies. The results of our analyses implicate that a negative correlation between the variables in question grows stronger in time periods preceding global shocks and during thereof. The dominance of the USD in the crude oil market is reflected in similar characteristics of the correlations of the currencies of other countries, such as China, countries of the Euro area, or Japan. As for countries exporting crude oil, the situation varies. The results of our research suggest the lack of a stable relationships between prices of crude oil and currency exchange rates. It is also impossible to observe a long-term, unequivocal tendency of the currencies of oil exporting countries being positively correlated with oil prices. Russia was the closest to this situation. In Saudi Arabia, a positive correlation emerged during moments of crisis.

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 Effect of Inflation, Interest Rates and World Oil Prices on Gold Prices in Indonesia with the US Dollar Exchange Rate as an Intermediary Variable

2021 ◽  
Vol 2 (1) ◽  
Author(s):  
Ummi Kalsum ◽  
Randy Hidayat ◽  
Sheila Oktaviani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Oil Prices ◽  
Series Data ◽  
Path Coefficient ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
The Exchange Rate

This study aims to determine the effect of inflation, interest rates, and world oil prices on fluctuations in gold prices in Indonesia with the US Dollar exchange rate as an intermediary variable. This research is a type of explanatory research with a quantitative approach. The data used are monthly time series data for 2014 - 2019 with a sample of 72 samples. Hypothesis testing in this study uses path analysis, is a development technique of multiple linear regression. This technique is used to test the amount of contribution shown by the path coefficient on each path diagram of the causal relationship between cariables X1, X2, and X3 on and its impact on Z. The results of this study indicate that the effect of inflation, interest rates and worl oil prices on exchange rates individually has very little effect. The effect of inflation, interest rates, world oil prices and the exchange rate on gold prices individually shows a negative value for inflation and interest rates means that the effect is small, while for the world oil price and the dollar exchange rates shows a positive value which means that it has a large effect on the price of gold. The effect of inflation, interest rates and world oil prices on gold prices through the exchange rate, all variable show a negative value, this indicates that the effect is very small.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

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 Exchange Rate Volatility: Asymmetric Effects

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Lucy Dobano
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Risk Premium ◽  
Exchange Rate Volatility ◽  
Common Factors ◽  
Parametric Models ◽  
Time Varying ◽  
Asymmetric Effects ◽  
The Us ◽  
Us Dollar

This paper studies the evolution of the daily exchange rates volatilities of five european currencies against the US dollar. The aim of this paper is to perform whether there are common factors in the evolution of these exchange rates flexibles during stability and unstability periods. Several alternative models have been proposed in the literature o to the model time varying volatilities. In this paper, we fit two parametric models, GARCH and GJR-GARCH for the years 1992 to 1993 and 1995 to 1997. We will show how these models within-sample estimates of volatility can be captured asymetric effects of news, specially in periods with high speculation. Summarizing, we can conclude that these results have the atractive over the exchange rate flexible markets, particularly in the risk premium exchange rate manage.

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