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The role of oil price shocks on exchange rates for the selected Asian countries: Asymmetric evidence from nonlinear ARDL and generalized IRFs approaches

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  • Zhang, Xiang
  • Baek, Jungho

Abstract

The primary contribution of the current paper is to explicitly take into consideration the role of asymmetries in oil prices when studying the nexus between oil price shocks and the real exchange rates across the selected countries in three regions of Asia. To achieve this contribution, the nonlinear autoregressive distributed lag (NARDL) and generalized impulse response functions (GIRFs) approaches are used. Our NARDL approach discovers that oil prices asymmetrically influence the currencies in such selected Asian economies as Bangladesh, China, India, Korea, the Philippines, and Thailand in both the short and long run. Our GIRFs reveal that a positive shock is more important than a negative shock in determining the currencies of the selected Asian countries. We believe that these outcomes have profound implications for our empirical modeling and policy analysis.

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  • 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).
    • Handle: RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003309
    DOI: 10.1016/j.eneco.2022.106178
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    4. Ge, Zhenyu, 2023. "The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 120-125.

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    More about this item

    Keywords

    Asia; Asymmetry; Generalized IRFs; NARDL; Oil prices;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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