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.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates

2019 ◽  
Vol 1 (2) ◽  
pp. 01-14
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 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.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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.

VOLATILITY OF CRUDE OIL PRICES, FOREIGN EXCHANGE EXPOSURES, AND COMPANY’S PERFORMANCE: EMPIRICAL EVIDENCE FROM TAIWANESE 3PL INDUSTRY

2018 ◽  
Vol 6 (1) ◽  
pp. 53-60
Author(s):  
Hsiao Chiu-Ming ◽  
Chen Chih-Hung ◽  
Lin Chun-Hsuan ◽  
Fang Bo-Wei ◽  
Tang Yen-Ju ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Negative Impact ◽  
Oil Prices ◽  
Foreign Exchange Rate ◽  
Firm Level ◽  
Crude Oil Prices ◽  
The Impact

Purpose of the study: In this paper, we investigate the impact of the changes in crude oil prices and fluctuation of foreign exchange rate on the operating performances of Taiwanese 3PL industry.Methodology: Vector Autoregression Models. Through the empirical model, we find that all the 3PL companies are more suffered to the volatility of WTI and Dubai crude oil prices, but Dubai is insignificant to the warehousing companies. In the fluctuations of foreign exchange rate, some have positive effect and some are negative.Main Findings: All the Taiwanese 3PL companies are more suffered to the volatility of WTI and Dubai crude oil prices, however Dubai is insignificant to the warehousing companies. Moreover, we find an interesting result, that is, for some companies operating performance, the impact on the volatilities of crude oil have the same sign but in opposite direction. For example, in our empirical results, the stock returns are positively correlated to volatilities of Dubai and Brent crude oil prices, however, WTI’s volatility has negative impact on them.Implications: It implies that the company can make a “natural hedge” strategy to hedge the crude oil volatility risk by forming a portfolio which pools these three commodities together. In this way, we made recommendations to the company’s decision-making reminding that the company should make a portfolio of foreign exchange and crude oil price fluctuations in the hedge strategy to enhance the company’s risk management operations and to reduce the loss caused by these factors.Novelty/Originality of this study: This study contributes in the existing literature for an empirically study of a firm-level evidence from Taiwanese 3PL companies.

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 ANALISIS DAMPAK HARGA MINYAK MENTAH DUNIA, TINGKAT SUKU BUNGA DAN KURS VALUTA ASING TERHADAP INDEKS HARGA SAHAM PERTAMBANGAN PERIODE 2014 – 2016

2020 ◽  
Vol 8 (2) ◽  
pp. 1-17
Author(s):  
Jessica Prania Suradi ◽  
Selly Eriska Marisa
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Foreign Exchange ◽  
Stock Price ◽  
Price Index ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Mining Sector ◽  
Crude Oil Prices ◽  
Stock Price Index

This study aims to look at the effect of world crude oil prices, interest rates, and foreign exchange rates on the mining sector stock price index for the 2014-2016 period. The research method used is descriptive statistical methods with quantitative research types. This study also uses analytical methods such as multiple regression analysis through t test and F test. Based on the F test (simultaneous) shows that world oil prices, interest rates, and foreign exchange rates affect simultaneously on the mining sector stock price index for the period 2014-2016 , while the t test (partial) shows that world crude oil prices a positive but not significant effect on the mining stock price index for the period 2014-2016, the interest rate has a negative effect and significant to the mining sector stock price index for the period 2014-2016, and the foreign exchange rate has a negative and significant effect on the price index mining sector shares in the 2014-2016 period.

Bounded influence estimator for GARCH models: evidence from foreign exchange rates

2010 ◽  
Vol 42 (11) ◽  
pp. 1437-1445 ◽  
Author(s):  
Jinliang Li ◽  
Chihwa Kao ◽  
Wei David Zhang
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Bounded Influence

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.

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