scholarly journals Unrestricted Vector Autoregressive Modelling of the Interaction among Oil Price, Exchange Rate and Inflation in Nigeria (1981–2017)

2019 ◽  
pp. 1-19
Author(s):  
G. L. Tuaneh ◽  
L. Wiri
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Impulse Response ◽  
Inflation Rate ◽  
National Income ◽  
Oil Price ◽  
Var Model ◽  
Annual Data ◽  
Causality Test ◽  
The Government

The interdependence among oil prices, exchange rates and inflation rates, and their response to shocks, was a cause of concern. Unrestricted Vector Autoregression (UVAR) was employed to analyse this interactions as well as to investigate the pattern of causality among the study variable. Annual data spanning from 1981 to 2017 was sourced from the Statistical Bulletin of the Central Bank of Nigeria. Pre-estimation analysis showed that all variables were integrated of order one 1(1), and there no cointegrating relationship. The inverse root of AR characteristic polynomial showed a stable VAR model. All lag length selection criteria chose a lag length of 1. The UVAR estimates and the test of significance particularly the granger causality test indicated significant influence and uni-directional effect from oil price to exchange rates. The Wald statistics, showed significant own shocks, and the impulse response showed that all variables were instantaneously affected by own shocks. Exchange rate was instantaneously affected by oil price; however, it ruled out the response in inflation rate to contemporaneous shocks in oil price. The variance decomposition further showed that at least 93.1%, 97.1% and 92.4% of the impulse response in oil price, exchange rate, and inflation rate respectively were from own shocks in the long run. The post estimation analysis showed that the VAR model was multivariate normal, the residual was homoscedastic, and there was no serial autocorrelation. It was recommended that the government should diversify the national income stream and consider policies that will control inflation.

scholarly journals THE EFFECT OF IMPORT FACILITIES FOR EXPORT PURPOSES, EXCHANGE RATES, AND INFLATION ON EXPORTS OF TEXTILES AND TEXTILE PRODUCTS

2020 ◽  
Vol 2 (2) ◽  
pp. 18-38
Author(s):  
Mohammad Fachrudin ◽  
Indah Puspitasari
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Textile Industry ◽  
Inflation Rate ◽  
Raw Materials ◽  
Export Performance ◽  
Fiscal Incentives ◽  
Panel Data Regression ◽  
Data Regression ◽  
The Government

The Import Facility for Export Purpose (KITE) is the Government's effort to encourage export performance. Companies that receive the KITE facility obtain fiscal incentives and export their product to import raw materials. The textile and textile product (TPT) industry is a strategic industry and has been determined by the Government as a pilot industry in the Roadmap for Making Indonesia 4.0. The textile industry relies on imported raw materials, so that the KITE facility is needed to encourage growth and increase product competitiveness in the international market. This study aims to determine the effect of the KITE facility, the rupiah exchange rate against the U.S. dollar, and the inflation rate on Indonesia's textile exports. We used a sample of 37 industrial textile companies in Indonesia that received the KITE facility  2016 to 2018. This study uses a panel data regression model with independent variables: KITE facility, exchange rates, inflation, and exported dependent variable. The results showed that the KITE facility had a positive and significant effect on the textile industry exports. In contrast, the exchange rate and inflation had a negative and significant impact on Indonesia's textile industry exports. This study's implications for the Government can be used to formulate a national strategy to increase export.

scholarly journals The Effect of Government Bonds, Inflation, And Exchange Rate in Achieving SDGs

2021 ◽  
Vol 5 (2) ◽  
pp. 119-135
Author(s):  
Muhammad Rafi Bakri ◽  
Anastasya Utami
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Path Analysis ◽  
Indirect Effect ◽  
Inflation Rate ◽  
Coefficient Of Determination ◽  
Government Bonds ◽  
Inflation Rates ◽  
The Government

This study aims to examine the effect of bonds, inflation rates, and exchange rates on economic growth to achieve Indonesia's 2030 sustainable development goals, namely reducing government and poverty. This study uses a quantitative regression analysis method with a path analysis approach to determine the direct or indirect effect between variables. The variables used are published values, inflation, exchange rates, economic growth, poverty rates, and poverty in Indonesia in 2016-2020. Based on the path analysis, the coefficient of determination of 60.72% indicates that the diversity of the data of 60.72% can be explained in the model. Government Bonds have a direct and significant effect on the economic growth of -1,243. Government obligations indirectly affect the level of movement and mission of 1,098 and 1,128, respectively. The inflation rate directly affects the rate of economic growth of 0.712. The inflation rate has no direct effect on the movement level and poverty of -0.6294 and -0.6644. The exchange rate has no significant direct or indirect effect on economic growth, movement, and poverty. This study concludes that the government needs to control inflation and inflation so that the economy can be achieved and reduce inflation and poverty. Keywords: Government Bond, Inflation Rate, Exchange Rate, Economic Growth, SDG’s

scholarly journals Exchange rate and oil price interactions in transition economies: Czech Republic, Hungary and Poland

2015 ◽  
Vol 62 (3) ◽  
pp. 267-285 ◽  
Author(s):  
Tayfur Bayat ◽  
Saban Nazlioglu ◽  
Selim Kayhan
Keyword(s):  
Exchange Rate ◽  
Czech Republic ◽  
Exchange Rates ◽  
Frequency Domain ◽  
Real Exchange Rates ◽  
Oil Price ◽  
Causality Analysis ◽  
Causality Test ◽  
Price Fluctuations ◽  
Long Run

This study investigates causal dynamics between crude oil prices and exchange rates in Czech Republic, Poland and Hungary by employing monthly data from the beginning of flexible exchange regime in each country to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out linear causality, non-linear causality, volatility spillover and frequency domain causality tests. The frequency domain causality analysis results imply that oil price fluctuations affect real exchange rates in the long run in Poland and Czech Republic. On the other hand, frequency domain causality test results indicate that oil price fluctuations do not affect exchange rate in any period in Hungary despite its economy?s high imported energy dependency.

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

scholarly journals Inflation Expectations in Turkey: Determinants and Roles in Missing Inflation Targets

2018 ◽  
Vol 7 (3) ◽  
pp. 73-90 ◽  
Author(s):  
Umit Bulut
Keyword(s):  
Exchange Rate ◽  
Inflation Targeting ◽  
Inflation Rate ◽  
Oil Price ◽  
Output Gap ◽  
Inflation Expectations ◽  
Inflation Target ◽  
Distributed Lag ◽  
Expected Inflation ◽  
Target Output

Abstract This paper aims at specifying the determinants of 12-month ahead and 24-month ahead inflation expectations in Turkey by using monthly data from April 2006 to December 2016. Put differently, this paper tries to shed light on how inflation expectations respond to changes in past inflation rate, inflation target, output gap, USD/TL exchange rate, oil price, and EMBI in Turkey. To this end, the paper first conducts unit root tests in order to detect the order of integration of the variables. Then, the paper employs the autoregressive distributed lag approach to examine whether there is a cointegration relationship among variables and to estimate long-run parameters. According to the findings, 12-month ahead expected inflation rate is positively related to past inflation rate, inflation target, output gap, USD/TL exchange rate, and oil price and is negatively related to EMBI. Besides, 24-month ahead expected inflation rate is positively related to past inflation rate and USD/TL exchange rate and is negatively related to inflation target and EMBI. Upon its findings, the paper makes some inferences about the success of inflation targeting strategy in Turkey.

scholarly journals Monetary Transmission Channel, Oil Price Shock and the Manufacturing Sector in Nigeria

2019 ◽  
Vol 19 (1) ◽  
pp. 89-113
Author(s):  
Adeleke Omolade ◽  
Philip Nwosa ◽  
Harold Ngalawa
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Rate ◽  
Manufacturing Sector ◽  
Output Growth ◽  
Oil Price ◽  
Monetary Transmission ◽  
Oil Price Shock ◽  
Price Shock ◽  
The Exchange Rate

Abstract Research background: The need for diversification of the Nigerian economy has been emphasized and the manufacturing sector has a major role in this. Being an oil producing country, monetary policy is an important macroeconomic policy that has always been used to manage the influence of oil price shock on the manufacturing sector. Purpose: The study examines the relationship between oil price shock, the monetary transmission mechanism and manufacturing output growth in Nigeria. Research methodology: The study applied the structural vector auto regression (SVAR) modelling technique and a descriptive analysis. Results: The results of the study show that the exchange rate is mostly affected by the oil price shock, while the monetary policy instruments and inflation rate are also very responsive to the exchange rate shock. The manufacturing sector output growth has also been shown to be strongly affected by the inflation rate and monetary policy shocks. Novelty: The study has revealed the most effective channel via which oil price shocks affect manufacturing output. The exchange rate channel of the monetary policy transmission mechanism is the most significant channel through which oil price shock affects manufacturing output growth in Nigeria. This shows that effective management of the exchange rate policy via the appropriate monetary policy approach can be used to minimize the adverse effect of oil price shocks on Nigerian manufacturing output.

scholarly journals Market Integration and Causality: An Application to the Major Apple Markets in India

2021 ◽  
Vol 66 (1) ◽  
Author(s):  
Shilpa S
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Market Integration ◽  
Impulse Response Function ◽  
Price Transmission ◽  
Fruit Crops ◽  
Causality Test ◽  
Additional Information ◽  
Major Implication ◽  
The Government

Market integration and prices of fruit crops such as apple play an important role in determining the production decisions of apple farmers. In this context, the present study examines the degree of spatial market integration and price transmission across five major apple markets of the country, viz. Shimla, Chandigarh, Delhi, Bengaluru and Mumbai by adopting Johansen’s Cointegration Test, Grangers Causality and Impulse Response Function. The outcomes of the study strongly buttress the cointegration and interdependence of the apple markets in India. To get additional information on whether and in which direction price transmission is occurring between market pairs, Ganger’s Causality Test has been used, which has confirmed Shimla to be the price determining market as it has causal relations with all the selected markets. The Impulse Response Function supported that all the selected markets responded well to standard deviation shock given to any other market. The major implication of the study is further improvement in market integration situation through dissemination of price and arrival data efficiently and developing communication means with in the markets by the government.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

PALM OIL PRICE–EXCHANGE RATE NEXUS IN INDONESIA AND MALAYSIA

2021 ◽  
Vol 24 (2) ◽  
pp. 169-180
Author(s):  
Afees Salisu ◽  
Abdulsalam Abidemi Sikiru
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Future Research ◽  
Daily Data ◽  
Out Of Sample ◽  
Exchange Rate Movements ◽  
Predictive Content

In this study, we extend the literature analyzing the predictive content of commodity prices for exchange rates by examining the role of palm oil price. Our analysis focuses on Indonesia and Malaysia, the two top producers and exporters of palm oil, and utilizes daily data covering the period from December 12, 2011 to March 29, 2021, which is partitioned into two sub-samples based on the COVID-19 pandemic. Relying on a methodology that accommodates some salient features of the variables of interest, we find that on average the in-sample predictability of palm oil price for exchange rate movements is stronger for Indonesia than for Malaysia. While Indonesia’s exchange rate appreciates due to a rise in palm oil price regardless of the choice of predictive model, Malaysia’s exchange rate only appreciates after adjusting for oil price. However, both exchange rates do not seem to be resilient to the COVID-19 pandemic as they depreciate amidst dwindling palm oil price. Similar outcomes are observed for the out-of-sample predictability analysis. We highlight avenues for future research and the implications of our results for portfolio diversification strategies.

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.

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