Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach

Haug, Alfred A.; Basher, Syed Abul

doi:10.1080/00036846.2019.1612031

Cited by 13 publications

(6 citation statements)

References 51 publications

(97 reference statements)

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“…An increase in oil price causes Algeria’s real exchange rate to appreciate, while a decrease in oil price leads to real exchange rate to depreciate. This is consistent with Haug and Basher (2019) who find that for oil-exporting countries, higher oil prices lead to an appreciation of the local currency relative to the US dollar. Additionally, the findings are supported by the wealth transmission channel, which shows that an increase in price of oil may appreciates domestic currencies of oil countries by increasing oil export revenues.…”

Section: Empirical Results and Discussionsupporting

confidence: 90%

Oil price and exchange rate nexus in Algeria: evidence from nonlinear asymmetric and frequency domain approach

Chekouri

Sahed

Chibi

2021

IJESM

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Purpose This paper aims to examine the relationship between exchange rate and oil prices in Algeria over the period 2004Q1–2019Q4. Design/methodology/approach The nonlinear autoregressive distributed lag method is used to capture the potential asymmetric relationship among oil prices and the exchange rate. Frequency domain spectral Granger causality test is also applied to investigate the causal linkage between the two variables. The wavelet coherence is applied to analyze the evolution of this relationship both in time and frequency domains. Findings The empirical results reveal evidence of long-run asymmetric effects of oil price on Algeria’s real effective exchange rate (REER), implying that an increase in oil price causes a real exchange rate to appreciate, while a decrease in oil price leads to a real exchange rate to depreciate. More specifically, it is found that the impact of negative oil price shocks is higher than the one associated with positive shocks. The spectral Granger causality results further indicate that there is unidirectional causality running from oil price to REER in both medium and long run. The wavelet coherence findings provide evidence of some co-movement between the REER and oil price and point out that the oil price is leading real exchange rate in the medium and long terms. Originality/value This study contributes to the literature by investigating the asymmetric impact and the time domain causal linkage between oil price fluctuations and real exchange rate in Algeria.

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Section: Empirical Results and Discussionsupporting

confidence: 90%

Oil price and exchange rate nexus in Algeria: evidence from nonlinear asymmetric and frequency domain approach

Chekouri

Sahed

Chibi

2021

IJESM

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“…The trade channel effect of oil shocks is that oil-importing countries allocate more resources from wealth accumulation and face deteriorating trade balances. This leads to an appreciation in the exchange rates of oil-exporting countries and a depreciation in the exchange rates of oil-importing countries [23][24][25].…”

Section: Literature Reviewmentioning

confidence: 99%

Early Warning Systems for World Energy Crises

Yokuş

2024

Sustainability

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Different severe energy crisis episodes have occurred in the world in the last five decades. Energy crises lead to the deterioration of international relations, economic crises, changes in monetary systems, and social problems in countries. This paper aims to show the essential determinants of energy crises by developing a binary logit model that estimates the predictive ability of thirteen indicators in a sample that covers the period from January 1973 to December 2022. The empirical results show that the energy crises are mainly due to energy supply–demand imbalances (petroleum stocks, fossil energy production–consumption imbalances, and changes in energy imports by countries), energy investments (oil and natural gas drilling activities), economic and financial disruptions (inflation, dollar indices, and indices of global real economic activity) and geopolitical risks. Additionally, the model is capable of accurately predicting world energy crisis events with a 99% probability.

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“…In contrast, adverse oil price shocks affect the exchange rate and public debt. Haug and Basher (2019), based on the logistic and exponential model for transition adjustments of the real exchange rate, which captures asymmetric and symmetric, respectively, investigated the impact of oil price shocks on the real exchange rate. Hung (2019) investigated the relationship between oil prices and the exchange rates of three countries, China, India, and South Korea, using the Copula GARCH approach on data from 2008 to 2018, and discovered a significant dependence between the variables.…”

Section: Association Between Oil Prices and Exchange Ratesmentioning

confidence: 99%

The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review

Siddiqui

Ahmed

Naushad

et al. 2023

IJEEP

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Oil is among the enormously vital and most traded commodities globally, involving many forex transactions in the face of various types of shocks attributable to geopolitics, supply, demand, market crisis, etc. This study uses a systematic literature review approach to explore the Literature from the SCOPUS database considering the relationship between oil prices and exchange rates by analyzing the papers from 1998 to 2022 and includes the final 123 papers. This study emphasizes three objectives; Literature developed so far, standard methodologies and findings, and the research gaps which can be pursued in further studies. Findings show that vast literature is developed around these variables and sub-topics in various dimensions, such as the stock market, gold prices, economic growth, etc. Research around the variables has increased in the recent past, indicating the continued relevancy of the relationship. However, it can be due to increased access to higher education and research. This study also finds the gap in the literature and has implications for the policymakers in monetary and fiscal policy planning, as well as investors across the globe in making portfolio management strategies.

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Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach

Cited by 13 publications

References 51 publications

Oil price and exchange rate nexus in Algeria: evidence from nonlinear asymmetric and frequency domain approach

Oil price and exchange rate nexus in Algeria: evidence from nonlinear asymmetric and frequency domain approach

Early Warning Systems for World Energy Crises

The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review

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