IDEAS home Printed from https://ideas.repec.org/a/taf/jitecd/v29y2020i1p119-130.html
   My bibliography  Save this article

On the relation between crude oil prices and exchange rates in sub-saharan African countries: A nonlinear ARDL approach

Author

Listed:
  • Jungho Baek
  • Hong-Youl Kim

Abstract

This article examines the effect oil price fluctuations have on exchange rates in selected sub-Saharan African (SSA) countries. To investigate the subject thoroughly, unlike previous studies we take specific account of the asymmetric effects of oil price changes in our modeling process, using the nonlinear autoregressive distributed lag (NARDL) model proposed by Shin et al. [2014. “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework.” In Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, edited by R. Sickels, and W. Horrace, 281–314. New York: Springer.] The results provide strong evidence that changes in oil prices have the asymmetric effects on the real exchange rates in the long-run; that is, the movements in the real exchange rates in selected SSA countries appear to respond mostly more to oil price increases than to decreases. In the short-run, on the other hand, the asymmetry of oil price changes is not observed.

Suggested Citation

  • Jungho Baek & Hong-Youl Kim, 2020. "On the relation between crude oil prices and exchange rates in sub-saharan African countries: A nonlinear ARDL approach," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 29(1), pages 119-130, January.
    • Handle: RePEc:taf:jitecd:v:29:y:2020:i:1:p:119-130
    DOI: 10.1080/09638199.2019.1638436
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09638199.2019.1638436
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09638199.2019.1638436?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jassim Aladwani, 2023. "Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 531-541, July.
    2. Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
    3. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
    4. Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.
    5. Baek, Jungho, 2022. "Does COVID-19 play any role in the asymmetric relationship between oil prices and exchange rates? Evidence from South Korea," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 553-559.
    6. 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).
    7. Fatma Kizilkaya, 2021. "Relationship Between Oil Prices and Real-Exchange Rate in Turkey: An Investigation Using Asymmetric Fourier Causality Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 71(71-2), pages 549-568, December.
    8. Sokhanvar, Amin & Çiftçioğlu, Serhan & Lee, Chien-Chiang, 2023. "The effect of energy price shocks on commodity currencies during the war in Ukraine," Resources Policy, Elsevier, vol. 82(C).
    9. Nyiko Worship Hlongwane & Olebogeng David Daw & Leeto Shogole & Selinah Ribese, 2022. "Exchange Rate Volatility and Oil Prices in South Africa," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 315-322, May.
    10. Amin Sokhanvar & Chien-Chiang Lee, 2023. "How do energy price hikes affect exchange rates during the war in Ukraine?," Empirical Economics, Springer, vol. 64(5), pages 2151-2164, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jitecd:v:29:y:2020:i:1:p:119-130. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RJTE20 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.