IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Investigating the oil price-exchange rate nexus: Evidence from Africa

  • Simeon Coleman

    ()

    (Division of Economics, Nottingham Business School, Nottingham Trent University)

  • Juan Carlos Cuestas

    ()

    (Department of Economics, The University of Sheffield)

  • Estefanía Mourelle

    ()

    (Facultad de Ciencias Económicas y Empresariales, Universidade da Coruña)

In 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.shef.ac.uk/economics/research/serps/articles/2011_015.html
File Function: First version, 2011
Download Restriction: no

Paper provided by The University of Sheffield, Department of Economics in its series Working Papers with number 2011015.

as
in new window

Length: 39 pages
Date of creation: May 2011
Date of revision: May 2011
Handle: RePEc:shf:wpaper:2011015
Contact details of provider: Postal:
9 Mappin Street, SHEFFIELD, S1 4DT

Phone: +44 114 222 3399
Fax: + 44 (0)114 222 3458
Web page: http://www.shef.ac.uk/economics
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. David Backus, 1984. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Canadian Journal of Economics, Canadian Economics Association, vol. 17(4), pages 824-46, November.
  2. Mohsen Bahmani Oskooee & Magda Kandil, 2007. "Real and nominal effective exchange rates in MENA countries: 1970-2004," Applied Economics, Taylor & Francis Journals, vol. 39(19), pages 2489-2501.
  3. Y.Chen & K. Rogoff, 2003. "Commodity Currencies and Empirical Exchange Rate Puzzles," DNB Staff Reports (discontinued) 76, Netherlands Central Bank.
  4. Gruen, David W R & Wilkinson, Jenny, 1994. "Australia's Real Exchange Rate--Is It Explained by the Terms of Trade or by Real Interest Differentials?," The Economic Record, The Economic Society of Australia, vol. 70(209), pages 204-19, June.
  5. Neary, Peter, 1988. "Determinants of the Equilibrium Real Exchange Rate," American Economic Review, American Economic Association, vol. 78(1), pages 210-15, March.
  6. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "A panel project on purchasing power parity: Mean reversion within and between countries," Journal of International Economics, Elsevier, vol. 40(1-2), pages 209-224, February.
  7. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-94, November.
  8. Golub, Stephen S, 1983. "Oil Prices and Exchange Rates," Economic Journal, Royal Economic Society, vol. 93(371), pages 576-93, September.
  9. Mohsen Bahmani-Oskooee & Abera Gelan, 2007. "Real and nominal effective exchange rates for African countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 961-979.
  10. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  11. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
  12. van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers EI 9734/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  13. Robert A. Amano & Simon van Norden, 1995. "Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate," International Finance 9502001, EconWPA.
  14. Anthony J Makin, 2009. "Is China's Exchange Rate Policy a Form of Trade Protection?," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 44(2), pages 80-86.
  15. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207, December.
  16. M Sensier & D R Osborn & N Öcal, 2002. "Asymmetric Interest Rate Effects for the UK Real Economy," Centre for Growth and Business Cycle Research Discussion Paper Series 10, Economics, The Univeristy of Manchester.
  17. Mariam CAMARERO & Juan Carlos CUESTAS & Javier ORDÃÑEZ, 2008. "The Role Of Commodity Terms Of Trade In The Determination Of The Real Exchange Rates Of The Mediterranean Countries," The Developing Economies, Institute of Developing Economies, vol. 46(2), pages 188-205.
  18. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  19. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
  20. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  21. Shiu-Sheng Chen, 2004. "Real exchange rate fluctuations and monetary shocks: a revisit," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 25-32.
  22. Selahattin Dibooglu & Faik Koray, 2001. "The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes," Open Economies Review, Springer, vol. 12(2), pages 123-143, April.
  23. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  24. Cashin, Paul & Cespedes, Luis F. & Sahay, Ratna, 2004. "Commodity currencies and the real exchange rate," Journal of Development Economics, Elsevier, vol. 75(1), pages 239-268, October.
  25. Meese, Richard, 1990. "Currency Fluctuations in the Post-Bretton Woods Era," Journal of Economic Perspectives, American Economic Association, vol. 4(1), pages 117-34, Winter.
  26. Lastrapes, William D, 1992. "Sources of Fluctuations in Real and Nominal Exchange Rates," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 530-39, August.
  27. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  28. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
  29. Ricardo Faria, Joao & Leon-Ledesma, Miguel, 2003. "Testing the Balassa-Samuelson effect: Implications for growth and the PPP," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 241-253, June.
  30. Evans, Martin D. D. & Lothian, James R., 1993. "The response of exchange rates to permanent and transitory shocks under floating exchange rates," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 563-586, December.
  31. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
  32. Hilde Bjørnland, 2004. "The Role of the Exchange Rate as a Shock Absorber in a Small Open Economy," Open Economies Review, Springer, vol. 15(1), pages 23-43, January.
  33. Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
  34. Darby, Michael R, 1982. "The Price of Oil and World Inflation and Recession," American Economic Review, American Economic Association, vol. 72(4), pages 738-51, September.
  35. Chaudhuri, Kausik & Daniel, Betty C., 1998. "Long-run equilibrium real exchange rates and oil prices," Economics Letters, Elsevier, vol. 58(2), pages 231-238, February.
  36. Nadir Ocal & Denise R. Osborn, 2000. "Business cycle non-linearities in UK consumption and production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 27-43.
  37. Camarero, Mariam & Tamarit, Cecilio, 2002. "Oil prices and Spanish competitiveness: A cointegrated panel analysis," Journal of Policy Modeling, Elsevier, vol. 24(6), pages 591-605, October.
  38. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  39. Ghura, Dhaneshwar & Grennes, Thomas J., 1993. "The real exchange rate and macroeconomic performance in Sub-Saharan Africa," Journal of Development Economics, Elsevier, vol. 42(1), pages 155-174, October.
  40. Amano, Robert A. & van Norden, Simon, 1995. "Terms of trade and real exchange rates: the Canadian evidence," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 83-104, February.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:shf:wpaper:2011015. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jacob Holmes)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.