Oil shocks and external adjustment

Bodenstein, Martin; Erceg, Christopher J.; Guerrieri, Luca

doi:10.1016/j.jinteco.2010.10.006

Cited by 208 publications

(69 citation statements)

References 55 publications

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“…According to this view, an increase in oil prices is associated with wealth transfer from oil-importers to oilexporters, which leads to a real depreciation (appreciation) of the exchange rates of oil-importing (oil-exporting) economies through current account imbalances and portfolio reallocation, respectively (e.g., Rasmussen and Roitman, 2011;Buetzer et al, 2012;and Fratzscher et al, 2014). The basic theoretical framework of this channel is developed by Golub (1983) and Krugman (1983), whereas the related empirical evidence can be found in Bénassy-Quéré et al (2007), Kilian et al (2009), andBodenstein et al (2011).…”

Section: Theoretical Considerations and Literature Reviewmentioning

confidence: 99%

The impact of oil shocks on exchange rates: A Markov-switching approach

2016

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This paper uses Markov-switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries. This is an important topic to study because an oil shock can affect a country's terms of trade which can affect its competitiveness. We detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks. We find limited evidence that oil supply shocks affect exchange rates. Global economic demand shocks affect exchange rates in both oil exporting and importing countries, though there is no systematic pattern of appreciating and depreciating real exchange rates. The results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates.JEL Classification: F31, G15, Q43

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Section: Theoretical Considerations and Literature Reviewmentioning

confidence: 99%

The impact of oil shocks on exchange rates: A Markov-switching approach

2016

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“…An increase in oil prices is associated with a wealth transfer from oil-importing to oil-exporting countries that leads to a real appreciation of the exchange rates of the oil-exporting country due to portfolio reallocations (e.g., Buetzer et al, 2012, andFratzscher et al, 2014). The basic theory for the wealth channel was developed by Golub (1983) and Krugman (1983), and related empirical evidence was presented in Kilian et al (2009) and Bodenstein et al (2011), among others.…”

Section: Related Literature: a Brief Reviewmentioning

confidence: 99%

Exchange Rates of Oil Exporting Countries and Global Oil Price Shocks: A Nonlinear Smooth-Transition Approach

Haug

Basher

2017

SSRN Journal

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This paper considers logistic (asymmetric) and exponential (symmetric) smooth transition adjustments of real and nominal exchange rates for six major oil-exporting countries in response to different shocks affecting oil prices. Real exchange rate movements affect the terms of trade and hence may affect relative competitiveness. We detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to oil supply shocks, idiosyncratic oil-market-specific shocks, and speculative (crude oil inventory) oil-market shocks. On the other hand, global aggregate demand shocks, which are shocks that do not directly originate in the oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and linear effects for the UK. These qualitative results mostly hold for nominal exchange rate returns as well. Exceptions are that linear effects are found for aggregate demand shocks for Brazil and for idiosyncratic shocks for Norway, whereas the aggregate demand shocks for the UK have nonlinear and asymmetric effects instead of linear ones. JEL Classification: F31, Q43

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“…6 It is a continuum of goods model in which all goods are tradable, the representative household holds assets, the production of goods requires labor input (subject to a production technology), and the production of transportation services requires gasoline input (subject to a transportation technology).…”

Section: Economic Environmentmentioning

confidence: 99%

Gasoline prices, transport costs, and the U.S. business cycles

Yilmazkuday

2014

Journal of Economic Dynamics and Control

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The e¤ects of gasoline prices on the U.S. business cycles are investigated. In order to distinguish between gasoline supply and gasoline demand shocks, the price of gasoline is endogenously determined through a transportation sector that uses gasoline as an input of production. The model is estimated for the U.S. economy using …ve macroeconomic time series, including data on transport costs and gasoline prices. The results show that although standard shocks in the literature (e.g., technology shocks, monetary policy shocks) have signi…cant e¤ects on the U.S. business cycles in the long run, gasoline supply and demand shocks play an important role in the short run.JEL Classi…cation: E32, E52, F41

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Oil shocks and external adjustment

Cited by 208 publications

References 55 publications

The impact of oil shocks on exchange rates: A Markov-switching approach

The impact of oil shocks on exchange rates: A Markov-switching approach

Exchange Rates of Oil Exporting Countries and Global Oil Price Shocks: A Nonlinear Smooth-Transition Approach

Gasoline prices, transport costs, and the U.S. business cycles

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