Since 2014
Empirical Analysis of Crude Oil Price Effects on Exchange Rate Volatility
Empirical Economic Review
View Archive Info| Field | Value | |
| ISSN |
2522-2465 2415-0304 |
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| Authentication Code |
dc |
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| Title Statement |
Empirical Analysis of Crude Oil Price Effects on Exchange Rate Volatility |
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| Personal Name |
Kemati, Reinhold Senior Economist, Research Department, Bank of Namibia, Windhoek, Namibia |
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| Summary, etc. |
This study examined the effects of crude oil price on nominal exchange rate volatility for oil and non-oil exporting countries. Immediately after the global financial crisis, the swings in the movement of crude oil price revealed how vulnerable the currencies of oil exporting countries and other commodity exporting countries. Using the Structural VAR method and the sample data from 2011 to 2016, the study estimated the effects of crude oil price on exchange rate stability and its impulse responses. Empirical results show that exchange rates for oil exporting countries are highly vulnerable to crude oil price shocks. As crude oil price declines, exchange rate volatility increases, similarly large crude oil price increases are associated with low exchange rate volatility. Currencies such as Angolan Kwanza, Russian Ruble, and Mexican Peso are very sensitive to crude oil price shocks. SVAR results show that oil price shocks significantly reduce exchange rate volatility of oil exporting countries. Meanwhile, the exchange rate volatility for non-oil exporting countries was driven by other factors than the price of crude oil.
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| Publication, Distribution, Etc. |
Department of Economics - University of Management and Technology |
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| Electronic Location and Access |
application/pdf https://ojs.umt.edu.pk/index.php/eer/article/view/139 |
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| Data Source Entry |
Empirical Economic Review; Vol 1 No 2 (2018): Winter 2018 |
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| Language Note |
eng |
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| Terms Governing Use and Reproduction Note |
##submission.copyrightStatement## |
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