The Impact of Oil Price Volatility on the Real Exchange Rate in Nigeria: An Error Correction Model

The weakening of the Rupiah against the US dollar has encouraged Bank Indonesia to issued Bank Indonesia Regulation (Peraturan Bank Indonesia - PBI) No. 17/3/2015. The research aimed to analyze the factors that affected the Rupiah exchange rate, the effect of PBI No. 17/3/2015 on the movement of the Rupiah exchange rate, and the behavior of exchange rate movement to the shocks on the variables that influenced it. The research applied secondary data, namely monthly data from January 2008 to April 2019 taken from reliable sources such as National Development Planning Agency (Bappenas), Bank Indonesia (BI), and Statistics Indonesia (BPS). It was explanatory research with a quantitative approach. The studied data were processed with the Vector Error Correction Model (VECM) method to identify long and short-term effects. The results of the long-term equation show that export-import has a negative effect on the exchange rate. Similarly, inflation has no significant effect on the exchange rate. Then, the money supply has a significantly negative effect on the exchange rate. However, the interest rate of Bank Indonesia positively affects the exchange rate. Next, the implementation of PBI No. 17/3/2015 has a significant and positive impact on the exchange rate. Last, the crisis condition does not affect the changes in exchange rates.

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PEMBAYARAN PINJAMAN LUAR NEGERI KORPORASI DAN PERGERAKAN RUPIAH

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v9i3.208 ◽

2007 ◽

Vol 9 (3) ◽

pp. 31-72

Author(s):

Iwan Setiawan ◽

Diah Indira ◽

Angsoka Yorintha Paundralingga

Keyword(s):

Exchange Rate ◽

Public Opinion ◽

Interest Rate ◽

Error Correction ◽

Foreign Exchange ◽

Foreign Debt ◽

Error Correction Model ◽

Oil Price ◽

Demand And Supply ◽

Correction Model

The shifting of the exchange rate regime toward the free floating system in Indonesia, have changed the nature of the Indonesian Rupiah fluctuation, both in its magnitude and direction. Public opinion tends to believe that the high corporate demand on foreign exchange to fulfill their foreign debt repayment is one of the major depreciating factors of the Rupiah against the US dollar.This paper analyzes the response of public opinion by analyzing the effect of corporate foreign debt repayments and their general behavior on the foreign exchange demand and supply. This paper also analyzes the impact of the non-oil and gas imports, the international oil price, the interest rate differential, and the country risk.Based on the survey of selected highly leverage corporates in Indonesia, the result shows a unique dependency of the corporate»s foreign exchange demand and supply on the corporate»s earning characteristics and its business sector orientation. The fact that corporations are virtually in the position of excess demand for foreign exchange have prompted persistent pressure on the Rupiah. Furthermore, using the Johansen Cointegration Test and the Error Correction Model verifies that the corporate foreign debt service merely affects the Rupiah exchange rate in the long-run. In the short-run, the movement of Rupiah is highly affected by other factors such us the global oil price, interest rate differentials, and country risks.Keyword: Debt Service, exchange rate, cointegration, Error Correction Model, Indonesia.JEL Classification: JEL Classification: F31, F34, H63

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Determinant Of Real Exchange Rate In Indonesia: Error Correction Model Approach

Proceedings of the Third Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2019) ◽

10.2991/piceeba-19.2019.16 ◽

2019 ◽

Author(s):

Fradya Randa ◽

Hasdi Aimon

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Real Exchange Rate ◽

Error Correction Model ◽

Correction Model ◽

Model Approach

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Oil volatility pass through and real exchange misalignment in leading commodity exporting countries

Ekonomski pregled ◽

10.32910/ep.71.6.2 ◽

2020 ◽

Vol 71 (6) ◽

pp. 579-606

Author(s):

Nicola Rubino

Keyword(s):

Exchange Rate ◽

Real Exchange Rate ◽

Goodness Of Fit ◽

Real Exchange Rates ◽

Commodity Prices ◽

Price Volatility ◽

Oil Price ◽

Price Variation ◽

The Real ◽

Speed Of Adjustment

Past research has shown how real Exchange rates follow a univariate nonlinear process that approximates their behavior in terms of transaction costs. However, little or nothing has been said about alternative sources of nonlinearity in commodity exporting countries. Our paper investigates the missing link between the Real Exchange Rate Commodity Prices equilibrium by employing an oil price volatility measure as an external source of short-term fluctuations. Our estimates show that the Real Exchange Rate Commodity price relationship appears to be nonlinear with respect to oil price variation, and that the goodness of fit of the nonlinear specifications appears to outperform that of the equivalent linear models. The equilibrium speed of adjustment appears to be different in the two branches of the relationship: in the majority of the threshold models, the negative volatility regime presents a faster speed of adjustment and in some cases a most significant one.

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Oil price volatility, macro-finance interactions and the role of monetary chocks

International Journal of Accounting and Economics Studies ◽

10.14419/ijaes.v3i2.4646 ◽

2015 ◽

Vol 3 (2) ◽

pp. 120

Author(s):

Hammami Algia ◽

Gmidéne Samia

Keyword(s):

Aggregate Demand ◽

Price Volatility ◽

Structural Var ◽

Oil Price ◽

Structural Shocks ◽

The Real ◽

Oil Price Volatility ◽

Macro Finance ◽

The Cost ◽

The Impact

This paper deals the impact of major external (monetary, financial, Oil supply, aggregate demand) shocks on the real oil price. For this reason, we use the structural VAR methodology (SVAR) on the basis of which we define five structural shock estimate SVAR models to determine the relationship between these five shocks.This paper presents the dynamic effects of these shocks on the real oil price and estimates the estimated contribution of these shocks to real oil price during the M11995– M2 2013 periods. Therefore, the objective of this paper is to identify the structural shocks underlying the real oil price.The results show that financial and monetary chocks are two key determinants of oil prices. The results indicate that the period of financial stress has contributed to the downturn of the economy by boosting the cost of credit and making businesses, households, and financial institutions highly cautious, and consequently to rise of oil price.

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Pengaruh Exchange Rate dan GDP Terhadap Ekspor dan Impor Indonesia

Develop ◽

10.25139/dev.v1i1.69 ◽

2017 ◽

Vol 1 (1) ◽

Author(s):

Lumadya Adi

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Error Correction Model ◽

Least Square ◽

Short Term ◽

Correction Model ◽

Ordinary Least Square ◽

The Impact

The purpose this research is to examine the impact of Exchange Rate and GDP on Indonesia’s Export and Import. Tools analysis is Dynamics Ordinary Least Square (DOLS): Error Correction Model (ECM). The result are: 1. GDP influence positif and significant in short-term and longterm relationship on Indonesia’s impor; 2. Exchange Rate influence positif and significant in short-term and longterm relationship on Indonesia’s impor; 3. GDP influence positif and significant in short-term but negatif and significant in longterm relationship on Indonesia’s export; 4. Exchange rate influence positif and significant in short-term but negatif and significant in longterm relationship on Indonesia’s export.Keywords: error correction model, gdp, exchange rate, impor, ekspor

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Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

Binus Business Review ◽

10.21512/bbr.v7i2.1453 ◽

2016 ◽

Vol 7 (2) ◽

pp. 171 ◽

Cited By ~ 1

Author(s):

Adedoyin I. Lawal ◽

Russel O. C Somoye ◽

Abiola A. Babajide

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Exchange Rate Volatility ◽

Price Volatility ◽

Oil Price ◽

Market Volatility ◽

Stock Market Volatility ◽

Oil Price Volatility ◽

The Exchange Rate ◽

The Impact

The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

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The Impact of RMB Exchange Rate Fluctuation on Price Level in China: An Empirical Analysis Based on the Vector Error Correction Model

International Journal of Economics and Finance ◽

10.5539/ijef.v10n5p184 ◽

2018 ◽

Vol 10 (5) ◽

pp. 184

Author(s):

Songlijiang Pan

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Price Index ◽

Consumer Price Index ◽

Error Correction Model ◽

Transfer Effect ◽

Correction Model ◽

Effective Exchange ◽

Effective Exchange Rate ◽

The Impact

With the improvement of RMB internationalization level, the impact of the changing international financial environment on China’s economy is becoming more and more serious, so it is increasingly important to study the transfer effect of exchange rate changing on Chinese prices. Based on the monthly data from August 2005 to October 2016 and by constructing vector error correction model, this paper empirically examines the transfer effect of RMB exchange rate changes on China’s price level. It is found that: 1) The transfer effect of nominal effective exchange rate of RMB on the single price index is smooth. 2) The transfer effect of RMB nominal effective exchange rate on China’s price index is incomplete and there is a certain delay. For each unit of appreciation of RMB, the consumer price index will fall by 0.18 units. Import price index (IPI) respond most quickly to exchange rate movements, while producer price index (PPI) and consumer price index (CPI) slow down in turn. 3) The error correction model analysis shows that the nominal effective exchange rate of RMB has a certain self-correcting mechanism for the transfer effect of China’s price index.

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