Modeling Returns and Volatility Transmission from Crude Oil Prices to Leone-US Dollar Exchange Rate in Sierra Leone: A GARCH Approach with Structural Breaks

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.

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

Energies ◽

10.3390/en13092395 ◽

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.

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Spillover effect of US dollar exchange rate on oil prices

Journal of Policy Modeling ◽

10.1016/j.jpolmod.2008.02.002 ◽

2008 ◽

Vol 30 (6) ◽

pp. 973-991 ◽

Cited By ~ 191

Author(s):

Yue-Jun Zhang ◽

Ying Fan ◽

Hsien-Tang Tsai ◽

Yi-Ming Wei

Keyword(s):

Exchange Rate ◽

Spillover Effect ◽

Oil Prices ◽

Dollar Exchange Rate ◽

Us Dollar

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

International Journal of Research -GRANTHAALAYAH ◽

10.29121/granthaalayah.v4.i9.2016.2550 ◽

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

Bussecon Review of Social Sciences (2687-2285) ◽

10.36096/brss.v3i3.296 ◽

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.

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Do Fine Wines Blend with Crude Oil? Seizing the Transmission of Mean and Volatility Between Two Commodity Prices

Journal of Wine Economics ◽

10.1017/jwe.2013.6 ◽

2013 ◽

Vol 8 (1) ◽

pp. 49-68 ◽

Cited By ~ 11

Author(s):

Elie I. Bouri

Keyword(s):

Financial Crisis ◽

Crude Oil ◽

Commodity Prices ◽

Oil Prices ◽

Multivariate Model ◽

Volatility Transmission ◽

Volatility Persistence ◽

Crude Oil Prices ◽

Risk Managers ◽

Jel Classifications

AbstractThis study applies a multivariate model to examine the dynamics of mean and volatility transmission between fine wine and crude oil prices using daily observations from January 2004 to December 2011. The results suggest that the crude oil mean determines the wine market. In each series, volatility persistence is high and significant; innovations in each market seem to include figures that are valuable to risk managers seeking to predict volatility in other markets. During the financial crisis of 2008, wine and oil conditional volatilities climbed but then returned to their overall pre-crisis levels. (JEL Classifications: G11, G15, Q14, Q40)

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