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The impacts of the oil price fall on the exchange rates of ASEAN-5: Evidence from the 2014 oil price shock

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  • Mirzosaid Sultonov

    (Tohoku University of Community Service and Science)

Abstract

In mid 2014, the crude oil price started to decrease significantly, and this sharp fall in the crude oil price had a considerable impact on the world economy and international trade. In this paper, we examined the impacts of the recent oil price fall on the exchange rates of the five biggest economies of the Association of Southeast Asian Nations (ASEAN-5). The derived results showed significant changes in dynamic conditional correlation and causality relationship among commodity and foreign exchange markets during the period of the crude oil price decrease.

Suggested Citation

  • Mirzosaid Sultonov, 2017. "The impacts of the oil price fall on the exchange rates of ASEAN-5: Evidence from the 2014 oil price shock," Economics Bulletin, AccessEcon, vol. 37(1), pages 468-479.
    • Handle: RePEc:ebl:ecbull:eb-17-00172
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    References listed on IDEAS

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    Cited by:

    1. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
    2. Baek, Jungho & Yoon, Jee Hee, 2022. "Do macroeconomic activities respond differently to oil price shocks? New evidence from Indonesia," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 852-862.
    3. Zhang, Xiang & Baek, Jungho, 2022. "The role of oil price shocks on exchange rates for the selected Asian countries: Asymmetric evidence from nonlinear ARDL and generalized IRFs approaches," Energy Economics, Elsevier, vol. 112(C).
    4. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    5. Jungho Baek & Yoon Jung Choi, 2021. "Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia," The World Economy, Wiley Blackwell, vol. 44(1), pages 312-325, January.
    6. Pham, Thai-Binh & Sala, Hector, 2019. "The macroeconomic effects of oil price and risk-premium shocks on Vietnam: Evidence from an over-identifying SVAR analysis," MPRA Paper 96873, University Library of Munich, Germany, revised 05 Jul 2019.
    7. Jaromír Vrbka & Jakub Horák & Tomáš Krulický, 2022. "The influence of world oil prices on the Chinese Yuan exchange rate," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 9(4), pages 439-462, June.

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    More about this item

    Keywords

    Crude oil price; exchange rate; dynamic linkage; causality; ASEAN; DCC; GARCH; EGARCH;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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