Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries

Kisswani, Khalid M.; Harraf, Arezou; Kisswani, Amjad M.

doi:10.1007/s10644-018-9229-6

Cited by 55 publications

(35 citation statements)

References 56 publications

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“…This finding agrees with the theory put forward by Cologni and Manera (2008), and Abel et al (2014). Empirically, the finding is in line with the findings of Kisswani et al (2019), Oyelami (2018), Yalcin et al (2004), andBabatunde (2015). In addition, it is also in accordance with the finding of Abdullahi et al (2016), Ahmad and Hernandes (2013), and Jiang and Gu (2016).…”

Section: Discussionsupporting

confidence: 90%

“…The previous researchers, for the purpose of analysis, used models such as the NARDL, the AVAR, the M-TAR, and the MF-CCA. Kisswani et al (2019), Muse andOmoniyi (2018), andOyelami (2018) are among those who applied the NARDL in their research. Kisswani et al (2019) examined the asymmetric relationship between oil prices and exchange rates in Thailand,Indonesia,Singapore,and Brunei Darussalam).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Kisswani et al (2019), Muse andOmoniyi (2018), andOyelami (2018) are among those who applied the NARDL in their research. Kisswani et al (2019) examined the asymmetric relationship between oil prices and exchange rates in Thailand,Indonesia,Singapore,and Brunei Darussalam). The results of relationship test using quarterly data from 1970Q1 to 2016Q4 revealed a long-term asymmetric influence of oil prices on exchange rates in Indonesia and Malaysia, but it was not the case for the other ASEAN-5 countries.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

Saidi

Aedy

Saranani

et al. 2020

IJEEP

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This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of West Texas Intermediate (WTI) crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the non linear autoregressive distributed lag -general autoregressive conditional heterochedasticity in mean model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.

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Section: Discussionsupporting

confidence: 90%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

Saidi

Aedy

Saranani

et al. 2020

IJEEP

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“…Kumar (2019) also argues that oil-exchange rate interaction exhibits a nonlinear and asymmetric behavior more than assumed in other studies. In fact, several studies have investigated the asymmetric effect of oil prices on exchange rates (Ahmad and Hernandes, 2013; Basher et al , 2016; Kumar, 2019; Kisswani et al , 2019; Nouira et al , 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

“…They also document significant exchange rate appreciation in oil-exporting countries after oil shocks. Kisswani et al (2019) investigate the asymmetric relationship between oil prices and exchange rates in five Asian countries (Malaysia, Thailand, Indonesia, Singapore and Brunei Darussalam). The empirical results reveal that long-run asymmetry holds for the nexus between oil prices and exchange rate for Indonesia and Malaysia only.…”

Section: Literature Reviewmentioning

confidence: 99%

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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Asymmetric Impact of Oil Price Shocks on Tourism: Evidence from Selected MENA Countries

Kisswani

Harraf

2021

Economic Development in the MENA Region

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Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries

Cited by 55 publications

References 56 publications

Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

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

Asymmetric Impact of Oil Price Shocks on Tourism: Evidence from Selected MENA Countries

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