Investigating the oil price-exchange rate nexus: Evidence from Africa
AbstractIn this paper, we aim to provide further insights into the importance of real oil price as a determinant of real exchange rates for a pool of African countries. While this relationship has been explored substantially for many industrialised economies, African countries have received little attention. By means of cointegration techniques and nonlinear dynamics we find that, for some of these countries, shocks in the real price of oil are particularly important in determining the real exchange rates, even in the long run. These results would be of interest for policymakers in order to deal more effectively with exchange rate policy decisions, aiming at promoting economic growth in the area.
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Bibliographic InfoPaper provided by The University of Sheffield, Department of Economics in its series Working Papers with number 2011015.
Length: 39 pages
Date of creation: May 2011
Date of revision: May 2011
Oil prices; real exchange rates; cointegration; nonlinearities;
Find related papers by 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
- F15 - International Economics - - Trade - - - Economic Integration
- F31 - International Economics - - International Finance - - - Foreign Exchange
- O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa
This paper has been announced in the following NEP Reports:
- NEP-AFR-2011-06-04 (Africa)
- NEP-ALL-2011-06-04 (All new papers)
- NEP-ENE-2011-06-04 (Energy Economics)
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- Hassan Suleiman & Zahid Muhammad, 2011. "The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria," FIW Working Paper series 072, FIW.
- Riane de Bruyn & Rangan Gupta & Renee van Eyden, 2013. "Forecasting The Rand-Dollar And Rand-Pound Exchange Rates Using Dynamic Model Averaging," Working Papers 201307, University of Pretoria, Department of Economics.
- Zahid Muhammad & Hassan Suleiman & Reza Kouhy, 2011. "Exploring oil price – exchange rate nexus for Nigeria," FIW Working Paper series 071, FIW.
- Shahbaz, Muhammad & Tiwari, Aviral Kumar & Tahir, Mohammad Iqbal, 2013. "Analyzing Time-Frequency Relationship between Oil Price and Exchange Rate in Pakistan through Wavelets," MPRA Paper 48086, University Library of Munich, Germany, revised 05 Jul 2013.
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