Exploring the asymmetric effect of oil price on exchange rate: Evidence from the top six African net oil importers

Saidu, Mohammad Tukur; Naseem, Niaz Ahmad Mohd; Law, Siong Hook; Yasmin, Bushra

doi:10.1016/j.egyr.2021.07.037

Cited by 21 publications

(19 citation statements)

References 42 publications

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“…Following (Reboredo and Rivera-Castro ( 2013 ); Sun et al ( 2022 ), data on the nominal EXR for Philippine Pesos was collected from Bangko Sentral ng Pilipinas BSP ( 2022 ) and the Singapore Dollars, Thai Baht, Malaysian Ringgits, Indonesian Rupiahs were sourced from the Federal Reserve Economic Data (FRED 2022 ). Brent crude oil data were obtained from US Energy Information Administration (EIA 2022 ) following Sarwar et al ( 2020 ); Saidu et al ( 2021 ). Monthly data from January 1988 to June 2022 were used in the analyses.…”

Section: Methodology and Datamentioning

confidence: 99%

Time-varying causality between oil price and exchange rate in five ASEAN economies

Koçoğlu

Kyophilavong

Awan

et al. 2022

Econ Change Restruct

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The aim of this study is to investigate the effect of oil price changes on the exchange rates of the five ASEAN economies. In the study, a rolling and recursive evolving window algorithm is applied to detect changes in the link between oil price and exchange rate from January 1988 to June 2022 for five ASEAN countries. We extend the existing literature using the Time-varying Granger causality model, which captures sensitivities across various time horizons. The findings revealed heterogeneous effects of oil price on the exchange rate at different time horizons in terms of importance and magnitude over time. Our empirical results support the combined movements of oil prices and exchange rates against some important dates and events. The findings provide investors with insight into the utility of the shock transmission mechanism and how central banks design market intervention policies.

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Section: Methodology and Datamentioning

confidence: 99%

Time-varying causality between oil price and exchange rate in five ASEAN economies

Koçoğlu

Kyophilavong

Awan

et al. 2022

Econ Change Restruct

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“…Selain itu, adanya efek negatif yang lemah antara harga minyak dan nilai tukar untuk sebagian besar di wilayah Asia yang mendefinisikan kenaikan harga minyak yang menyebabkan harga mata uang mengalami depresiasi dengan respon minimal. Alhasil, menunjukkan adanya korelasi lemah silang negatif antara harga minyak dan nilai tukar untuk sebagian besar negara Asia (Saidu et al, 2021).…”

Section: Teori Dan Hipotesisunclassified

Pengaruh Harga Minyak Dunia, Kestabilan Politik Dan Suku Bunga Terhadap Nilai Tukar Di Indonesia

Hesniati

Kalimah

Nanto

et al. 2022

JMM

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This study discusses the relationship between world oil prices, political stability and interest rates on exchange rates in Indonesia which is analyzed using monthly time series data for 2010-2020 and processed using the E-Views application and tested with multiple linear regression. After research, it was found that world oil prices have a negative and significant effect on the exchange rate, political stability has a positive and significant effect on the exchange rate, while interest rates have no significant relationship with the exchange rate. Meanwhile, based on the results of the tests carried out, the variables of world oil prices, political stability and interest rates have a proportion of 56% in explaining the exchange rate as the dependent variable, while the remaining 44% is influenced by other variables outside of this research variable. Investors and international economic actors must be able to paying attention to world oil prices and political stability in predicting changes in exchange rates. The government as a policy maker have to maintain crude oil supplies, maintain political stability, and control interest rates to maintain exchange rates stability

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“…By contrast, however, the studies of Abubakar (2019); and Ben‐Dhiab et al (2021) found no evidence for the existence of asymmetric relationships. Empirical studies that included a panel of oil‐importing and oil‐exporting countries and obtained asymmetric relationships include the studies of Kisswani et al, 2018; Salisu et al, 2020; Kisswani & Elian, 2021, while the studies of Saidu et al (2021) and Huang et al (2020) could not find evidence for asymmetric relationship. The results are mixed as regards (a)symmetric relationship and the significant sign effects of positive and negative impacts.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The methodological literature on the oil price and exchange rate nexus largely revolves around studies that investigate the symmetric and asymmetric relationship between the two variables. On the strength of this, the non‐linear autoregressive distributed lag model has been largely prominent (see Agbo, 2021; Baek, 2021; Fasanya et al, 2021; Khraief et al, 2020; Kisswani et al, 2018; Kisswani & Elian, 2021; Kumar, 2019; Saidu et al, 2021; Sanusi, 2020). Churchill et al (2019) employed a two‐regime threshold vector error correction model in order to account for the non‐linearity in equilibrium adjustment, while Baek (2020) adopted quantile autoregressive distributed lag (QARDL) so as to set the NARDL lag to zero threshold.…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling oil price shocks and exchange rate behaviour in Nigeria – A regime‐switching approach

2022

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Consequent upon the intermittent variations in the global oil prices over the years and its attendant effects on exchange rate dynamics of oil‐rich economies, the study investigates the regime‐switching behaviour of oil price shocks and exchange rate behaviour in Nigeria. The period of investigation spans 1980q1 – 2020q4 and the technique of analysis is the Markov‐Switching Dynamic Regression. Predicated on an extended portfolio balancing theory, the unit‐root test with structural break confirms break points in the data. The Markov‐Switching Dynamic Regression shows the presence of two regimes of low and high global oil price shocks in the data. Additional results show that expectation plays a huge role in the oil price and exchange rate nexus in Nigeria and that the regime of low global oil price comes with more shock effects than that of high global price of oil. With short memory property, both the low and high global prices of oil exhibit high persistence level above 70 percent but the duration of persistence for the latter is half‐life the former. The study recommends that the monetary authority should introduce exchange rate policy surprise and further diversify the economy from oil dependence.

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Exploring the asymmetric effect of oil price on exchange rate: Evidence from the top six African net oil importers

Cited by 21 publications

References 42 publications

Time-varying causality between oil price and exchange rate in five ASEAN economies

Time-varying causality between oil price and exchange rate in five ASEAN economies

Pengaruh Harga Minyak Dunia, Kestabilan Politik Dan Suku Bunga Terhadap Nilai Tukar Di Indonesia

Modelling oil price shocks and exchange rate behaviour in Nigeria – A regime‐switching approach

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