Exchange Rate Volatility and Oil Prices in South Africa

Hlongwane, Nyiko Worship; Daw, Olebogeng David; Shogole, Leeto; Ribese, Selinah

doi:10.32479/ijeep.12949

IJEEP

2022

DOI: 10.32479/ijeep.12949

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Exchange Rate Volatility and Oil Prices in South Africa

Nyiko Worship Hlongwane¹,

Olebogeng David Daw

Leeto Shogole³

et al.

Abstract: The study examines the oil prices and exchange rate volatilities in South Africa. The study employs monthly time series data spanning for the period from 1960 M1 to 2021M11 using data collected from the SARB. The study employs a TGARCH model to analyse the volatilities between oil prices and exchange rate. The study found that oil prices have a negative statistically significant impact on the exchange rates in South Africa. The study therefore recommends that the monetary authorities must monitor oil prices as… Show more

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Oil-exchange rate volatilities and returns nexus

Umoru,

Effiong,

Okpara

et al. 2023

CGOBR

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The study evaluates the channel of volatilities and returns between global oil prices and exchange rates of 21 developing countries. The structural vector autoregression (SVAR) findings are that oil-producing and exporting countries would have their exchange rates fluctuate slightly due to changing oil prices. For Markov-regime switching estimations, whereas, exchange rate volatility does not significantly influence volatility in oil prices at both regimes of flexible and fixed exchange rates, there is the presence of significant volatility spill-over from oil prices to exchange rates. Oil price movements do significantly induce appreciation or depreciation of exchange rates. In effect, volatilities in exchange rates do not trigger volatilities in oil prices but positively and considerably influenced crude oil returns in the fixed regime by 0.59%. Notwithstanding the 0.092 low transition probability, all other probabilities that the influence of volatility in the exchange rate on oil market volatility would persist are high for both flexible and fixed regimes of exchange rates. The significant positive coefficients of exchange rates together with high transition probabilities reported are indicative of rising exchange rates, implying devaluation and hence, a negative influence on oil returns and prices. Market agents can therefore diversify risks by investing in oil markets and forex markets independently.

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Oil-exchange rate volatilities and returns nexus

Umoru,

Effiong,

Okpara

et al. 2023

CGOBR

View full text Add to dashboard Cite

show abstract

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Exchange Rate Volatility and Oil Prices in South Africa

Cited by 1 publication

References 39 publications

Oil-exchange rate volatilities and returns nexus

Oil-exchange rate volatilities and returns nexus

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