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Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries

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  • Forhad, Md. Abdur Rahman
  • Alam, Md. Rafayet

Abstract

This study examines the impact of structural oil demand and supply shocks, derived from a structural vector autoregression model proposed by Kilian (2009), on the real effective exchange rates (REER) of Indonesia, Malaysia, Singapore, Thailand, and the Philippines. Our results show that the REER of these countries are not impacted by oil supply shocks. Oil-specific demand shocks affect the REER of Thailand contemporaneously and those of Indonesia, Singapore, and the Philippines with a one-month lag. However, more than one-month-old oil-specific demand shocks usually do not affect the REER of these countries.

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  • Forhad, Md. Abdur Rahman & Alam, Md. Rafayet, 2022. "Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries," Global Finance Journal, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000351
    DOI: 10.1016/j.gfj.2021.100637
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    More about this item

    Keywords

    Real effective exchange rates; Oil demand shocks; Oil supply shocks;
    All these keywords.

    JEL classification:

    • 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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