Crude Oil Price and Exchange Rate Nexus: An Ardl Bound Approach

Abstract

This study investigates the impact of crude oil price on exchange rate in Nigeria using an autoregressive distributed lag (ARDL) model covering the period from 1983-2017. The results showed that crude oil price has negative and significant impact on exchange rate in both the long run and the short run whereas oil revenue and Gross Domestic Products have significant positive impact on exchange rate also in both the long-run and the short-run periods. The findings suggested that crude oil price which is the focal point of the study, could affect exchange rate in the both the long-run and the short-run. Therefore the study concludes that crude oil price, oil revenue and Gross domestic Products are among the determinants of exchange rate in Nigeria.

Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach

“…In contrast, the negative bubble during the COVID-19 outbreak is associated with downwardly accelerating price decreases in the WTI and Brent crude oil prices. This result largely confirms the findings of the previous studies of Musa et al (2020) , Ali et al (2020) , Shu et al (2021) . Weng et al (2021) find that COVID-19 related news affects the price of crude oil futures, which has a certain explanatory power for the volatility of crude oil futures.…”

The relationship between LNG price, LNG revenue, non-LNG revenue and government spending in China: An empirical analysis based on the ARDL and SVAR model

“…16 found different degrees of heterogeneity in the impact of oil price shocks on different industries through a study of OECD countries, which also found that all oil price increases have a negative impact on economic activity. 22 However, 14 calculated the direct and complete consumption coefficients for the coal industry and other sectors of the national economy through an input-output model and analyzed the response of each sector to coal price fluctuations. The study shows that fluctuations in coal prices have the greatest impact on the industrial sectors such as electricity, production industries and thermal power.…”

“…Therefore, we need to construct VAR models and use the AIC and the SIC to determine the maximum lag order of the models. 22 In Table 4 we refer to these two criteria and choose the maximum lag order as p = 2. Furthermore, if all the variables are stationary at I(0) or I(1), the bounds testing approach would be used and are the major advantages of using the ARDL estimators.…”

“…In this paper, we use the recursive cumulative sum of residuals (CUSUM) and recursive cumulative sum of squared residuals (CUSUMSQ) statistical tests to test the robustness of the estimated parameters of the specified model to ensure the robustness of the ARDL model constructed in this paper. 22,25,35,36 The results of the stability test of the ARDL model (CUSUM and CUSUMSQ) are shown in Figure 2, if the values of CUSUM and CUSUMSQ values remain within the critical range of 5% (shown by the red dashed line), it indicates parameter constancy and model stability. The results of the CUSUM and CUSUMSQ tests based on the non-LNG revenue and GOVS models (Figure 2, Panel C and Figure 2, Panel D) show that both statistics remain within the 5% significance range.…”

The Effect of Oil Prices on Industrial Production in Oil-Importing Countries: Panel Cointegration Test

“…Many researchers have contributed to the This Journal is licensed under a Creative Commons Attribution 4.0 International License literature on the relationship between oil prices and economic and financial variables, starting with the work of Hamilton (1983). Sadorsky (1999), Basher and Sadorsky (2006), Park and Ratti (2008), Imarhiagbe (2010), Lee and Zeng (2011), Lee et al (2012), Syzdykova (2018) examining the relationship between oil prices and stock market index; Camarero et al (2002), Korhonen and Juurikkala (2009), Buetzer et al, (2012), Lin and Su, (2020), Musa et al (2020), Ding et al (2020) analyzing the relationship between oil prices and exchange rate, Lardic and Mignon (2008), Lescaroux and Mignon (2008), Mehrara andMohaghegh (2011), Hamilton (2012), Ashley and Tsang (2013), Maghyereh et al (2019), Mo et al (2019), van Eyden et al (2019, Maheu et al (2020) examined the relationship between oil prices and growth.…”