The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis

Bouoiyour, Jamal; Selmi, Refk; Tiwari, Aviral Kumar; Shahbaz, Muhammad

doi:10.1016/j.eneco.2015.06.001

Cited by 54 publications

(25 citation statements)

References 51 publications

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“…Similar results are also found in Bouoiyour et al. (). Chen and Chen () find even some long‐term predictability of crude oil prices on exchange rates.…”

Section: Literature Reviewsupporting

confidence: 91%

“…They conclude from this that price effects, such as an oil price shock, have only a short-term influence on the exchange rate, which is why a high frequency of data is important. Similar results are also found in Bouoiyour et al (2015). Chen and Chen (2007) find even some long-term predictability of crude oil prices on exchange rates.…”

Section: Literature Reviewsupporting

confidence: 83%

“…However, they were unable to beat the random walk, which is why they concluded that commodities are not suitable for forecasting exchange rates. Subsequent studies found the opposite effect (Bouoiyour, Selmi, Tiwari, & Shahbaz, ; Chen & Chen, ; Ferraro, Rogoff, & Rossi, ; Mark, ). Thus, there is still no consensus in literature upon this issue.…”

Section: Introductionmentioning

confidence: 96%

See 2 more Smart Citations

Forecasting exchange rates with commodity prices—a global country analysis

Baumgärtner

Klose

2019

World Economy

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This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables. This holds irrespective of whether the countries are net exporters or importers of commodities. However, the forecasting power was even better in the 1990s and seems to have decreased since that that time. Nevertheless, forecasts can even today be improved considerably by adding commodity prices.

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“…Similar results are also found in Bouoiyour et al. (). Chen and Chen () find even some long‐term predictability of crude oil prices on exchange rates.…”

Section: Literature Reviewsupporting

confidence: 91%

Section: Literature Reviewsupporting

confidence: 83%

Section: Introductionmentioning

confidence: 96%

See 1 more Smart Citation

Forecasting exchange rates with commodity prices—a global country analysis

Baumgärtner

Klose

2019

World Economy

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“…They reported that the strength of the relationship between oil price and exchange rate keeps changing over the time horizon. Bouoiyour, Selmi, Tiwari, and Shahbaz (2015) examined the nexus between oil price and Russia's real exchange rate, using monthly data. They detected sharp causality running from oil price to real exchange rate in lower frequencies.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Revealing the nexus between oil and exchange rate in the major emerging markets—The timescale analysis

2018

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This paper investigates the interrelationship between Brent oil price and exchange rate in 10 emerging markets of East Europe, Asia, Africa, and South America. For computational purpose, we apply two innovative methodologies—wavelet coherence and phase difference that are capable of observing different frequency scales. Wavelet coherence results suggest that strong coherence is present during world financial crisis (WFC) in the oil‐exporting countries and in majority of the oil‐importing countries. Phase arrows as well as phase difference suggest negative coherence between oil and exchange rates in the oil‐importing countries during WFC. Negative coherence is found in these countries because currency depreciation was accompanied by immense oil price drop in WFC period. In addition, phase difference has relatively stable in‐phase dynamics in long term in the oil‐importing countries during tranquil periods, which confirms theoretical stance that higher oil prices cause currency depreciation and vice versa. As for the oil‐exporting countries, we find constant and relatively long‐lasting anti‐phase pattern in Russian and Nigerian cases for long‐term horizons but not for Brazilian one.

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“…They came to a conclusion that even if oil prices suddenly recover rapidly, the Russia model based on imported growth would still fail to ensure economic growth. Bouoiyour et al (2015) analysed the nexus between oil price and Russia's real exchange rate via unconditional versus conditional analysis. A major finding of this paper is deeply suggestive of a sharp causality running from oil price to real exchange rate in lower frequencies.…”

Section: Introductionmentioning

confidence: 99%

The Change of the Trajectory Towards Growing Economy: The Evidence From Russia

Bikar¹,

Sedliačiková²

2018

EMS

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The Russian economy has overcome the recession and returned to moderate growth in year 2017, as the economy has adjusted to the lower oil price and the sanctions imposed in 2014. Russian companies had stepped up domestic investment, attracted by industrial policy incentives and a weak rouble that increased their competitiveness. A resilient rubble and steady oil prices have given the central bank room for a rate cut. The medium-term growth forecast for Russia has slightly improved after a faster-than-expected recovery in demand on the domestic market and due to higher exports. Monetary policy should be eased to support growth, but cautiously to avoid a rebound of inflation. The paper deals with the analyses and predictions of the Russian economy development and the main factors influencing the current and future economy and the GDP structure. The objective of this article was to analyse the time-varying nature among Russian GDP, oil prices and some major macroeconomic variables. The results of the carried out research reflected that the oil prices has played a key role and has indeed changed the nature of correlation relationship between analysed variables. The value of the rubble against dollar is closely tied to the price of oil, Russia's main export. Over the longer term growth is expected to continue lagging behind the world average unless the government adopts decisive structural reforms to boost investment. The poverty rate will gradually decline as the labor market strengthens and inflation abates further. The paper highlights the monetary policy including currency prediction, public debts, and inflation levels, as well as commodity export dependency.

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The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis

Cited by 54 publications

References 51 publications

Forecasting exchange rates with commodity prices—a global country analysis

Forecasting exchange rates with commodity prices—a global country analysis

Revealing the nexus between oil and exchange rate in the major emerging markets—The timescale analysis

The Change of the Trajectory Towards Growing Economy: The Evidence From Russia

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