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.

Forecasting Crude Oil price using Artificial Neural Network model

2021 ◽  
pp. 321-326
Author(s):  
Sivaprakash J. ◽  
Manu K. S.
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Crude Oil ◽  
Back Propagation ◽  
Oil Prices ◽  
Oil Price ◽  
Back Propagation Algorithm ◽  
Crude Oil Price ◽  
Propagation Algorithm ◽  
Crude Oil Prices

In the advanced global economy, crude oil is a commodity that plays a major role in every economy. As Crude oil is highly traded commodity it is essential for the investors, analysts, economists to forecast the future spot price of the crude oil appropriately. In the last year the crude oil faced a historic fall during the pandemic and reached all time low, but will this situation last? There was analysis such as fundamental analysis, technical analysis and time series analyses which were carried out for predicting the movement of the oil prices but the accuracy in such prediction is still a question. Thus, it is necessary to identify better methods to forecast the crude oil prices. This study is an empirical study to forecast crude oil prices using the neural networks. This study consists of 13 input variables with one target variable. The data are divided in the ratio 70:30. The 70% data is used for training the network and 30% is used for testing. The feed forward and back propagation algorithm are used to predict the crude oil price. The neural network proved to be efficient in forecasting in the modern era. A simple neural network performs better than the time series models. The study found that back propagation algorithm performs better while predicting the crude oil price. Hence, ANN can be used by the investors, forecasters and for future researchers.

scholarly journals PENGARUH NILAI TUKAR DAN HARGA MINYAK MENTAH DUNIA TERHADAP RETURN SAHAM PT. INDOMOBIL SUKSES INTERNASIONAL TBK. DAN PT. ASTRA INTERNASIONAL TBK. TAHUN 2006-2016

2017 ◽  
Vol 1 (2) ◽  
pp. 61
Author(s):  
Arif Fadlilah ◽  
Sri Hermuningsih
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Stock Prices ◽  
Stock Return ◽  
T Test ◽  
Oil Price ◽  
Crude Oils ◽  
Crude Oil Price ◽  
F Test ◽  
Crude Oil Prices

This research is meant to find out the influence of exchange rates and crude oil price either simultaneous or partial to the stock return at PT. Indomobil Sukses Internasional Tbk. and PT Astra Internasional Tbk. The data which is applied in this research is the automotive companies’ stock prices, Rupiah exchange rates, and crude oil price from 2006 to 2016. The multiple linear regressions are applied as the analysis technique by carrying out F test and t test. Based on the F test it is found that simultaneously the rupiah exchange rates and crude oil prices have influence to the stock return. Based on the t test it is found that partially the rupiah exchange rates have no influence to PT. Indomobil Sukses Internasional Tbk stock return but have influence to PT. Astra Internasional Tbk stock return and crude oils prices have influence to stock return. t test indicates the dominant influence to the stock return PT. Indomobil Sukses International Tbk is crude oils variable and stock return PT. Astra International Tbk is exchange rates variable

On the asymmetric response of the exchange rate to shocks in the crude oil market

2020 ◽  
Vol 14 (4) ◽  
pp. 839-852 ◽  
Author(s):  
Huthaifa Alqaralleh
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Crises ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Exchange Rate ◽  
Asymmetric Cointegration

Purpose This paper aims to investigate the nonlinear dynamics in the effects of oil price shocks on the exchange rate for a sample from the Group of Twenty (G20) over the period 1994:1-2019:1. Design/methodology/approach Using monthly time series data covering the period1994:1-2019:1, the author first use the non-parametric triples test of Randles et al. (1980) to ascertain the existence of asymmetric properties in the sample of exchange rates. Then the author used the nonlinear ARDL cointegration approach developed by Shin et al. (2014) to examine the reaction of these exchange rates to the oil price shocks. Findings This study has identified significant evidence that the exchange rate is asymmetrically distributed, with the effect that high appreciation of the exchange rate is followed by slower depreciation. The NARDL results support such asymmetry even more strongly because in the test the exchange rate is shown to react differently in the long term to positive and negative shocks in oil prices. Another major finding was that the speed of adjustment differed over the sample, as the cumulative dynamic multipliers effect highlighted. Research limitations/implications This change in direction and the employment of non-linear technique can be to obtain better insight into the model specification, which the author believes, will not only enhance the findings in the literature but also enhance forecasting and decision-making. Practical implications A practical implication of this change is the possibility that policymakers and participants concerned with exchange rate stability should intervene in the market to alleviate the unfavourable impact of oil price shocks on the exchange rate. Originality/value Addressing this nonlinear dynamic in the effects of oil price shocks on the exchange rate have at least the following two important reasons: asymmetry and regime change are types of nonlinearities that affect the market dynamics, especially, over marked sample period with such financial crises as the global financial crises of 2007, thereby violating the linear models. Adopting an asymmetric cointegration technique permits to incorporate cointegrated positive and negative components of the considered series.

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

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 Impact of FDI inflow, crude oil prices, and economic growth on CO2 emission in Tunisia: Symmetric and asymmetric analysis through ARDL and NARDL approach

2021 ◽  
Vol 12 (1) ◽  
pp. 1-13
Author(s):  
Tarek Ghazouani
Keyword(s):  
Economic Growth ◽  
Crude Oil ◽  
Carbon Emissions ◽  
Co2 Emission ◽  
Oil Prices ◽  
Oil Price ◽  
Crude Oil Price ◽  
Fdi Inflows ◽  
Crude Oil Prices ◽  
Long Run

This study explores the symmetric and asymmetric impact of real GDP per capita, FDI inflow, and crude oil price on CO2 emission in Tunisia for the 1972–2016 period. Using the cointegration tests, namely ARDL and NARDL bound test, the results show that the variables are associated in a long run relationship. Long run estimates from both approach confirms the validity of ECK hypothesis for Tunisia. Symmetric analysis reveals that economic growth and the price of crude oil adversely affect the environment, in contrast to FDI inflows that reduce CO2 emissions in the long run. Whereas the asymmetric analysis show that increase in crude oil price harm the environment and decrease in crude oil price have positive repercussions on the environment. The causality analysis suggests that a bilateral link exists between economic growth and carbon emissions and a one-way causality ranges from FDI inflows and crude oil prices to carbon emissions. Thus, some policy recommendations have been formulated to help Tunisia reduce carbon emissions and support economic development.

scholarly journals Pengaruh Suku Bunga, Nilai Tukar Rupiah, Inflasi Dan Harga Minyak Dunia Terhadap Ihsg Di Bei

2019 ◽  
Vol 2 (3) ◽  
Author(s):  
Reagan Wijaya Sumitra
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Interest Rates ◽  
Price Index ◽  
Secondary Data ◽  
Sampling Technique ◽  
Oil Price ◽  
Share Price ◽  
Crude Oil Price ◽  
Negative Effect

This research is to analyze the influence of macroeconomic towards composite share price index in Indonesia. This research is an explanatory research with quantitative paradigm. This research is using secondary data and the sample determined by full sampling technique based on time series date that has been accessed on official website of Bank Indonesia and finance yahoo year 2013 to 2017 which is consist of 60 samples. This research used multiple linier regression analysis. Based on classic assumption test, the datas in this research has been comply the assumption. Based on the multiple linier regression test, exchange rates and crude oil price has positive effect, whereas the inflation and interest rates has negative effect on composite share price index. Based on R2 test, 73,3 %  of composite share price index influenced by interest rates, exchange rates, inflation and crude oil price. Based on F test, macro economic factors simultantly influence composite share price index. Based on t test, interest rates and exchange rates has a significant effect on composite share price index, whereas the inflation and crude oil price did not have significant effect on composite share price index.

scholarly journals Relationship between International Crude Oil Price and Indian Stock Market (NSE)

2011 ◽  
pp. 63-73
Author(s):  
Rajendra Mahunta
Keyword(s):  
Crude Oil ◽  
Global Economy ◽  
Stock Exchange ◽  
Oil Prices ◽  
Oil Price ◽  
Raw Material ◽  
Crude Oil Price ◽  
New Era ◽  
Crude Oil Prices

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affect the global economy. Crude oil is an important raw material used for manufacturing sectors, so that increase in the price of oil is bound to warn the economy with inflationary inclination. The study examine the long-term relationships between CNX NIFTY FIFTY index of National Stock Exchange and crude price by using various econometric test. The surge in crude oil prices during recent years has generated a lot of interest in the relationship between oil price and equity markets. The study covers the period between 01.01.2010 and 31.12.2014 and was performed with data consisting of 1245 days. The empirical results show there was a cointegrated long-term relationship between CNX index and crude price. Granger causality results reveal that there is unidirectional causality exists and crude oil price causes NSE (CNX) but NSE (CNX) does not cause oil price.

scholarly journals Oil Prices, Exchange Rates, And Inflation Expectations In South Africa

2015 ◽  
Vol 14 (4) ◽  
pp. 587
Author(s):  
Kin Sibanda ◽  
Progress Hove ◽  
Genius Murwirapachena
Keyword(s):  
South Africa ◽  
Exchange Rates ◽  
Crude Oil ◽  
Positive Impact ◽  
Oil Prices ◽  
Policy Framework ◽  
Series Data ◽  
Inflation Expectations ◽  
Crude Oil Prices ◽  
The Impact

Informed inflation expectations facilitate the extemporisation of a proper monetary policy framework that allows for the achievement of economic objectives, among them price stability. This study used the vector autoregression model to assess the impact of crude oil prices and exchange rates on inflation expectations in South Africa. Monthly time-series data for the period July 2002 to March 2013, obtained from the electronic database of the South African Reserve Bank were used. The study obtained statistically significant results suggesting that both crude oil prices and the exchange rates have a positive impact on inflation expectations in South Africa.

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