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Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries

Author

Listed:
  • Khalid M. Kisswani

    (Gulf University for Science and Technology)

  • Arezou Harraf

    (Box Hill College, Kuwait)

  • Amjad M. Kisswani

    (University of Nevada)

Abstract

As the linear analysis of the oil price-exchange rate nexus failed to provide conclusive results, asymmetry analysis and nonlinear models recently emerged as new direction in examining this relationship. As such, this paper investigates the asymmetric relationship between oil prices and exchange rates for selected ASEAN countries, from 1970:Q1 to 2016:Q4. This is done by employing the nonlinear Autoregressive Distributed Lags (NARDL) approach of cointegration developed by Shin et al. (in: Horrace, Sickles (eds) Festschrift in honor of Peter Schmidt, Springer, New York, 2013). Furthermore, this paper pays attention to the importance of the presence of structural breaks in the data. The empirical results show long-run asymmetry for Indonesia and Malaysia only, when structural breaks are taken into consideration. The paper, additionally, examines the causality direction for the oil price-exchange rate nexus using the Toda and Yamamoto (J Econ 66:225–250, 1995) causality test. The findings show mixed results, since a bidirectional causality between oil price (increase and decrease) and exchange rate is found in some cases, but, a unidirectional causality running from oil price (either increase or decrease) to exchange rate, or running from exchange rate to oil price (either increase or decrease), is found in other cases.

Suggested Citation

  • Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
    • Handle: RePEc:kap:ecopln:v:52:y:2019:i:3:d:10.1007_s10644-018-9229-6
    DOI: 10.1007/s10644-018-9229-6
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    10. Oleg ANDREEV & Oksana LOMAKINA & Ariadna ALEKSANDROVA, 2021. "Diversification Of Structural And Crisis Risks In The Energy Sector Of The Asean Member Countries," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 149-160, June.
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    More about this item

    Keywords

    ASEAN; Real oil prices; Exchange rates; NARDL; Asymmetry;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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