Oil Shocks and Exchange Rate Dynamics. In: Exchange Rates and International Macroeconomics. Author & abstract; Download; 3 References; 36 Citations inconclusive with regard to the different exchange rate dynamics following an oil shock. For this purpose, we calculate a time-varying estimate of the degree to Keywords: oil price shocks, exchange rate volatility, asymmetric causality test, asymmetric generalized impulsion functions, causality-in-variance tests, MENA 27 Jul 2016 Keywords: Oil shocks, Exchange rates, Heterogeneity effects, Quantile its prices dynamics can affect the real economy and financial markets. 2 Jun 2017 In this case, inflation and nominal exchange rate dynamics are real oil price shocks imply an appreciation of the real exchange rate for China regards magnitude, of positive and negative oil price shocks on exchange rate volatility. Keywords: Oil price; Exchange rate; Volatility; GARCH/EGARCH models
We first test whether exchange rates are cointegrated with real oil prices. It is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates. We then examine the ability of real oil prices to forecast future real exchange returns. Panel
The distinction between real and nominal measures is important when assessing the relationship between oil prices and exchange rates. The nominal spot exchange rate at a specific point in time 𝑠 is expressed as domestic currency per US dollar, implying that an increase reflects a nominal appreciation of the US dollar, 𝑠 = Further deregulation of the foreign exchange market in 1999, however, pushed the exchange rate to N86.322 = $1.00. With huge inflow of oil revenue due to hike in the oil price, the end-period rate stood at N117.97 in December, 2007. exchange rate. Flow demand and storage demand shocks account for an additional 31%, suggesting a modestly important role of actual and expected global business cycle dynamics for the determination of the real exchange rate. Second, we provide evidence that exogenous real exchange rate shocks represent demand shocks in the global market for exchange rate dynamics and show that the movements in exchange rates can be largely explained by shocks to two fundamentals—global oil prices and growth of the People’s Republic of China (PRC). This finding holds for both commodity and non-commodity currency pairs, extending the results from the previous literature. The explanatory power ofeconomic fundamentals has increased significantly We empirically evaluate popular views about the role of exogenous real exchange rate shocks in driving the real price of oil, and we examine the extent to which shocks in the global oil market drive the U.S. real exchange rate and U.S. real interest rates. Our evidence for the first time provides direct empirical support for theoretical models Abstract: Nigeria's persistent exchange rate crises are fundamentally linked to oil price shocks. The most recent oil bust of mid-2014 which ignited internal macroeconomic dislocations, including an economic recession, coupled with rising inflation, saw the country recording a double-digit decline in the value of the naira.
Oil Shocks and Exchange Rate Dynamics. Paul Krugman. Chapter in NBER book Exchange Rates and International Macroeconomics (1983), Jacob A. Frenkel,
A large US depreciation or appreciation tends to heighten the effects of oil shocks on exchange rate returns. Positive oil demand shocks lead to appreciation pressures in oil-exporting countries and this result is robust across lower and upper return distributions. These results offer rich and useful information for investors and decision-makers. This paper examines exchange rate management in Nigeria in the periods of oil boom and bust. Findings indicate that the oil price collapse of 2014 triggered a currency crisis in the country. The devaluation of the naira exacerbated the very problem it was meant to solve, which is the scarcity of foreign exchange and a widening gap between the official rate and the parallel market rate.
exchange rate dynamics and show that the movements in exchange rates can be largely explained by shocks to two fundamentals—global oil prices and growth of the People’s Republic of China (PRC). This finding holds for both commodity and non-commodity currency pairs, extending the results from the previous literature. The explanatory power ofeconomic fundamentals has increased significantly
(1983b) Oil Shocks and Exchange Rate Dynamics, In Exchange Rates and. International Macroeconomics, edited by J. A. Frenkel. Chicago: University of Chicago. 13 Mar 2016 Oil shocks and exchange rate dynamics. In Frenkel, Jacob A. (Eds), Exchange rates and international macroeconomics (pp. 259–284). University effects of adverse oil shocks and exchange rate movements. Keywords: dynamics of oil price and exchange rate on economic and currency policies. However examine the speed of adjustment of the variables from the short run dynamics shocks to oil prices volatility have symmetric effect on exchange rate volatility?
Oil Shocks and Exchange Rate Dynamics. Paul Krugman. Chapter in NBER book Exchange Rates and International Macroeconomics (1983), Jacob A. Frenkel,
Oil Shocks and Exchange Rate Dynamics. In: Exchange Rates and International Macroeconomics. Author & abstract; Download; 3 References; 36 Citations