Determining Real Exchange Rate Fluctuations in the Oil-Based GCC Economies

Amin, Z A; T, El-Sakka M. I

doi:10.18488/journal.aefr/2016.6.7/102.7.374.389

Cited by 7 publications

(4 citation statements)

References 12 publications

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“…On the whole, we conclude the overwhelming predictive power of time-series models over our oil-based exchange rate model across the GCC region. That time-series models (AR, ARMA, and ARFIMA), in the majority of cases, predict exchange rates better than our oil-based exchange rate model can do is reflected in the predictability graphs associated with both models (Compare Figure 1 and in the region, and as noted by Amin [14], the inability of the GCC nominal exchange rates, which are pegged completely or partially to the US dollar, to adjust to the oil price shocks through appreciation or depreciation means that the impact would be transferred to the GCC economies in the form of domestic inflation and higher prices relative to the foreign prices, with a large resultant effect on the GCC real exchange rates.…”

Section: Forecast Evaluation: Can Oil-based Exchange Rate Model Beat Time Series Models?supporting

confidence: 52%

“…According to Amin [14], in the G7 countries, most results point out that oil DOI: 10.4236/tel.2018.815202 3268 Theoretical Economics Letters O. I. Nnachi prices have significant predictive power on real exchange rates along with evidence of a long run link between the two variables employing different oil price measures. In addition, considering periods of structural breaks and noticeable turn arounds, Turhan et al [15] confirm that the relationship between oil prices and nominal exchange rates assumes more significant pose after the financial crises of 2008 for some selected emerging countries.…”

Section: Literature Reviewmentioning

confidence: 99%

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Improving the Forecast Accuracy of Oil-Exchange Rate Nexus in GCC Countries

Nnachi¹

2018

TEL

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This paper renders new evidence on the predictability of GCC dollar exchange rates using crude oil prices relying on the approach of Westerlund [1][2] that accounts for salient features of the predictor. The results show the presence of significant in-sample predictability of exchange rates using crude oil prices (Brent and WTI prices) across the GCC countries. The results of forecast evaluation based on the root mean square error (RMSE), Campbell-Thompson (C-T) statistic and Diebold-Mariano (D-M) statistic are rather mixed. The superior forecast performance of the oil-based exchange rate model is highly sensitive to the choice of benchmark time-series models. We, however, conclude the overwhelming forecast performance of time-series models (namely, AR, ARMA, and ARFIMA) over our oil-based exchange rate model in predicting exchange rates across the GCC region.

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Section: Forecast Evaluation: Can Oil-based Exchange Rate Model Beat Time Series Models?supporting

confidence: 52%

Section: Literature Reviewmentioning

confidence: 99%

Improving the Forecast Accuracy of Oil-Exchange Rate Nexus in GCC Countries

Nnachi¹

2018

TEL

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“…Oil prices and exchange rates can affect each other. Amin and El-Sakka (2016), in their research, said that there is long-term causality between oil prices and exchange rates, whereas, in the short term, oil prices cause changes in real exchange rates. Adeniyi et al (2012) said that oil prices and exchange rates have a positive relationship in oil-exporting countries.…”

Section: Development Of the Hypothesismentioning

confidence: 99%

Analysis of Oil Price and Exchange Rate in Indonesia

Wahyudi

Andriyanto

Tresnaningtyas

et al. 2023

IJEEP

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This research aims to find out the long-term and short-term effects of the oil price variable on the exchange rate, as well as the variables of foreign exchange reserves, relative money supply, relative GDP, and interest rates relative to the exchange rate in Indonesia. The analytical method used is the Error Correction Model (ECM). This study's results indicate a significant negative effect between the variables of foreign exchange reserves, relative GDP, and relative interest rates on exchange rates in the long term and short term. There is an insignificant positive relationship between oil prices and the exchange rate in the long term and a significant positive relationship in the short term. There is an insignificant negative effect between the money supply relative to the exchange rate in the long term and a significant negative relationship in the short term.

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“…All GCC currencies were pegged to the USD, excluding the Kuwaiti dinar, and the USD lost value due to the terrorist attacks of 11th September 2001. Currency appreciation is believed to have occurred in oil-exporting countries with positive oil price shocks, whereas oil importing countries experienced depreciation (Amin and El-Sakka 2016). The other breaks may relate to some oil price fluctuations, as GCC countries are the major exporters of oil.…”

Section: Estimation Of Breakpointsmentioning

confidence: 99%

Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

Afzal

Sibbertsen

2022

Open Econ Rev

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This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies in the periodogram suggests the existence of fractional integration. We apply semi-parametric methods to measure long-range dependence. We find a decrease in the memory estimates with an increase in the bandwidth, which indicates the presence of spurious memory rather true long memory. The hypothesis of long memory against the alternative of spurious memory is also tested by applying the different semi-parametric methods. Empirical results confirm the presence of spurious memory that may be a result of some shocks to the volatility estimator. Furthermore, the reduced memory estimates obtained by utilising an estimator accounting for level shifts also explains the inconsistency of the Local Whittle estimator. We also estimate the number of breaks for each series.

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Determining Real Exchange Rate Fluctuations in the Oil-Based GCC Economies

Abstract: ABSTRACT

Cited by 7 publications

References 12 publications

Improving the Forecast Accuracy of Oil-Exchange Rate Nexus in GCC Countries

Improving the Forecast Accuracy of Oil-Exchange Rate Nexus in GCC Countries

Analysis of Oil Price and Exchange Rate in Indonesia

Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

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