Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks

Jiang, Jiaqi; Gu, Rongbao

doi:10.1016/j.physa.2016.03.016

Cited by 36 publications

(23 citation statements)

References 42 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Using cointegration techniques and nonlinear dynamics they suggested that, shocks in the real price of oil are particularly important in determining the real exchange rates, even in the long run. Jiang and Gu [20] examined multiracial behavior in cross-correlation between oil prices and exchange rates. They recovered the structural oil shocks and then use these indicators to characterize the asymmetries along with oil price trend itself.…”

Section: Empirical Reviewmentioning

confidence: 99%

Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings

Mwankemwa

Kibona

Said

2020

AJEBA

View full text Add to dashboard Cite

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.

show abstract

Section: Empirical Reviewmentioning

confidence: 99%

Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings

Mwankemwa

Kibona

Said

2020

AJEBA

View full text Add to dashboard Cite

show abstract

“…Within the contemporary research about relationship between oil prices and financial variables, the following trends are widely investigated and discussed: (i) a link between exchange rates and oil prices (Austvik, 1987;Nusair & Kisswani, 2015;Dreger et al, 2016;Jiang & Gu, 2016;) and (ii) relationship between oil price volatility and stock markets (Andrei et al, 2016;Ciner, 2001;Hedi & Fredj 2010;Mohamed, 2012;Gogineni, 2016;Maghyereh et al, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

Financial variables influencing the performance of refined crude oil products at North-West European cargo markets

Gurvitš

Strouhal

Saia³

et al. 2018

Journal of International Studies

View full text Add to dashboard Cite

show abstract

“…According to the studies, if inflation rate escalated then simultaneously equity prices also rise, so, this phenomenon concluded a direct relationship (Wulfsberg 2016). However, some studies examined negative association between inflation rate and stock returns (e.g., Ratti, Vespignani 2016;Haugom et al 2016;Jiang, Gu 2016;Albulescu et al 2016;Mushtaq 2012;etc.). Numerous studies investigated the affects of interest and inflation rates on equity returns, and concluded that inflation and interest rate have an inverse association on stock returns (e.g., Gomes 2015;Sultonov 2015;Gilmore et al 2015;etc.…”

Section: Impact Of Oil Prices On Inflation and Stock Returnsmentioning

confidence: 99%

ESTIMATION OF LONG-RUN RELATIONSHIP OF INFLATION (CPI & WPI), AND OIL PRICES WITH KSE-100 INDEX: EVIDENCE FROM JOHANSEN MULTIVARIATE COINTEGRATION APPROACH

Ahmed

Vveinhardt

Štreimikienė

et al. 2017

Technological and Economic Development of Economy

View full text Add to dashboard Cite

This research is an attempt to framework the applied strides to evaluate the long run relationship among commonly used inflation proxies induces such as, wholesale price index (WPI) and consumer price index (CPI), and crude oil price (COP) with KSE100 index returns. In this research we used monthly data for the time period from July 1995 to June 2016, and thus, in this way total 252 observations have been considered. Time series have been made stationary by applying ADF and PP tests at first difference. Johansen multivariate conintegration approach was used to test the long-term association amongst the considered macroeconomic variables. The results indicated that CPI and COP significantly affect KSE100 index returns that indicated CPI along with COP have foreseen power to impact KSE100 index. In contrary, the results of WPI and COP do not have long run relationship with KSE100 index in case of Pakistani economy. Results of variance decomposition exhibited that the index of LKSE100 was realistically rarer exogenous in connection to distinctive factors, as around 92.31% of its variation was explained due to its own specific shocks. It is concluded that CPI and COP can impact the KSE100 index returns. It is confirmed by the results of impulse response function that there is a positive and long run relationship between KSE100 returns and consumer price index (proxy of inflation) and international crude oil prices.

show abstract

Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks

Cited by 36 publications

References 42 publications

Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings

Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings

Financial variables influencing the performance of refined crude oil products at North-West European cargo markets

ESTIMATION OF LONG-RUN RELATIONSHIP OF INFLATION (CPI & WPI), AND OIL PRICES WITH KSE-100 INDEX: EVIDENCE FROM JOHANSEN MULTIVARIATE COINTEGRATION APPROACH

Contact Info

Product

Resources

About