Have a personal or library account? Click to login
Modelling the Impact of Crude Oil Prices and Stock Price Index on Indonesia’s Exchange Rates Cover

Modelling the Impact of Crude Oil Prices and Stock Price Index on Indonesia’s Exchange Rates

Open Access
|Jan 2024

References

  1. Aggarwal, R. (1981). Exchange rates and stock prices: A study of the United States capital markets under floating exchange rates. Akron Business and Economic Review, 12, 7–12.
  2. Akram, Q.F. (2009). Commodity Prices, Interest Rates and the Dollar. Energy Economics, 31, 838–851.
  3. Aloui, R., Ben Aissa, M.S., & Nguyen, D.K. (2013). Conditional dependence structure between oil prices and exchange rates: a copula-GARCH approach. Journal of International Money and Finance, 32, 719–738.
  4. Amano, R.A., & Van Norden, S. (1998). Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance, 17(2), 299–316.
  5. Andrews, D.W.K., & Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383}1414.
  6. Askari, H., & Krichene, N. (2010). An oil demand and supply model incorporating monetary policy. Energy, 35, 2013-2021.
  7. Azam, M., Haseeb, M., Samsi, A. B., & Raji, J. O. (2016). Stock market development and economic growth: evidence from Asia-4 countries. International Journal of Economics and Financial Issues, 6 (3), 1200-1208.
  8. Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24(4), 459–464.
  9. Beckmann, J., Czudaj, R.L., & Arora, V. (2020). The relationship between oil prices and exchange rates: Revisiting theory and evidence. Energy Economics, 88, (104772).
  10. Benassy-Quere, A., Mignon, V., & Penot, A. (2007). China and the relationship between the oil price and the dollar. Energy Policy, 35(11), 5795–5805.
  11. Bjørnland, H.C., & Hungnes, H. (2008). The commodity currency puzzle. The ICFAI Journal of Monetary Economics, 0(2), 7-30.
  12. Bodenstein, M., Erceg, C. J., & Guerrieri, L. (2011). Oil shocks and external adjustment. Journal of International Economics, 83(2), 168–184.
  13. Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327.
  14. Bollerslev, T., & Wooldridge, J.M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews, 11(2), 143–172.
  15. Brooks, C. (2008). Introductory Econometrics for Finance. (2nd Ed.). Cambridge university press, New York.
  16. Cavalcanti, T., & Jalles, J.T. (2013). Macroeconomic effects of oil price shocks in Brazil and in the United States. Applied Energy, 104, 475–486.
  17. Chen, S.S., & Chen, H.C. (2007). Oil prices and real exchange rate. Energy Economics, 29(3), 390–404.
  18. Cifarelli, G., & Paladino, G. (2010). Oil price dynamics and speculation: a multivariate financial approach. Energy Economics, 32(2), 363–372.
  19. Coudert V., Couharde, C., & Mignon, V. (2011). Does euro or dollar pegging impact the real exchange rate? The case of oil and commodity currencies. The World Economy, 34(9), 1557–92.
  20. Coudert, V, Mignon, V., & Penot, A. (2008). Oil price and the dollar. Energy Studies Review, 15(2), 45–58.
  21. Diamandis, P. F., & Drakos, A. A. (2011). Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries. Journal of Policy Modeling, 33(2011), 381–394.
  22. Ding, L, & Vo, M. (2012). Exchange rates and oil prices: a multivariate stochastic volatility analysis. Quarterly Review of Economics and Finance, 52, 15-37.
  23. Ghosh, S. (2011). Examining crude oil price-exchange rate nexus for India during the period of extreme oil price volatility. Applied Energy, 88(5), 1886-1889.
  24. Glosten, L.R., Jagannathan, R., & Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48 (5),1779–1801.
  25. Golub, S. (1983). Oil prices and exchange rates. The Economic Journal, 93(371), 576–593.
  26. Granger, C.W. J., Huang, B. N., & Yang, C.W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40, 337–354.
  27. Habib, M.M., & Kalamova, M.M. (2007). Are there oil currencies? the real exchange rate of oil exporting countries. European Central Bank Working Paper 839.
  28. Hamilton, J.D. (1983). Oil and the macroeconomy since World War II. The Journal of Political Economy, 91(2), 228–248.
  29. Huang, Y., & Guo, F. (2007). The role of oil price shocks on China’s real exchange rate. China Economic Review, 18(4), 244–265.
  30. Ibrahim, Y., & Raji, J.O. (2018). Cross-border merger and acquisition activities in Asia: the role of macroeconomic factors, Studies in Economics and Finance, 35(2), 307-329.
  31. Iwayemi, A., & Fowowe, B. (2011). Impact of oil price shocks on selected macroeconomic variables in Nigeria. Energy Policy, 39(2), 603–612.
  32. Ji, Q., Shahzad, S.J.H., Bouri, E., & Suleman, M.T (2020). Dynamic structural impacts of oil shocks on exchange rates: lessons to learn. Journal of Economic Structures, 9(20).
  33. Kanas, A. (2002). Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan. Applied Economics Letters, 9, 501–503.
  34. Kiatmanaroch, T., & Sriboonchitta, S. (2014). Relationship between exchange rates, palm oil prices, and crude oil prices: a vine copula based GARCH approach. Advances in Intelligent Systems and Computing, 251, 399-413
  35. Kim, K. (2003). Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model. Review of Financial Economics, 12, 301–313.
  36. Krugman, P. (1983). Oil and the dollar, In Economic interdependence and flexible exchange rates, pp. 179-90, Cambridge, MA: MIT Press.
  37. Kutty G. (2010). The Relationship between exchange rates and stock prices: The case of Mexico. North American Journal of Finance and Banking Research, 4(4), 1–12.
  38. Lizardo R A., & Mollick, A.V. (2010). Oil price fluctuations and US dollar exchange rates? Energy Economics, 32(2), 399-408.
  39. Narayan, P.K., Narayan, S., & Prasad, A. (2008). Understanding the oil price-exchange rate nexus for the Fiji Islands. Energy Economics, 30(5), 2686–2696.
  40. Nelson, D. (1991). Conditional heteroskedasticity in asset return: a new approach. Econometrica, 59, 347–370.
  41. Nyblom, J. (1989). Testing for constancy of parameters over time. Journal of the American Statistical Association, 84 (405), 223-230.
  42. Nusair, S.A., & Kisswani, K.M. (2014). Asian real exchange rates and oil prices: a co-integration analysis under structural breaks. Bulletin of Economic Research, 00 (0), 0307-3378.
  43. Olomola, P.A., & Adejumo, A.V. (2006). Oil price shock and macroeconomic activities in Nigeria. International Research Journal of Finance and Economics, 3(1), 28–34.
  44. Perron, P & Vogelsang, T.J. (1993). A note on the asymptotic distributions of unit root tests in the additive outlier model with breaks. Revista de Econometria,13, 181-201.
  45. Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24, 1031-1053.
  46. Raji, J. O., Abdulkadir, R.I., & Badru, B.O. (2018). Dynamic relationship between Nigeria-US exchange rate and crude oil price. African Journal of Economic and Management Studies, 9(2), 213-230.
  47. Raji, J.O., Ibrahim, Y., & Ahmad, S.A. (2017). Stock price index and exchange rate nexus in African markets. International Economic Journal, 31(1), 112-134.
  48. Raji, J.O., Juzhar, J., & Jantan, M. (2014). Testing the theoretical proposition of exchange market pressure: the Nigerian experience. Journal of Economic Cooperation and Development, 35(3),71-98.
  49. Raurava, J. (2004). The role of oil prices and the real exchange rate in Russia’s economy – a co-integration approach. Journal of Comparative Economics, 32, 315-327.
  50. Reboredo, J.C., Rivera-Castro, M. A., & Zebende, G.F. (2014). Oil and US dollar exchange rate dependence: a detrended cross-correlation approach. Energy Economics, 42, 132-139.
  51. Salisu, A. A., & Mobolaji, H. (2013). Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate. Energy Economics, 39, 169-176.
  52. Taylor, S.J. (1986). Forecasting the volatility of currency exchange rates. International Journal of Forecasting, 3, 159-170.
  53. The ASEAN Post (2019). The decline of Indonesia’s oil and gas industry. Available at https://theaseanpost.com/article/decline-indonesias-oil-and-gas-industry
  54. Tiwari, A.K., & Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85–91.
  55. Tiwan, A.V., Mutascue, M.I., & Albulescu, C.T. (2013). The influence of international oil prices on the real effective exchange rate in Romania in a wavelet transform framework. Energy Economics, 40, 714-733.
  56. Tsai, I.-C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22, 609–621.
  57. Turhan, M.I., Hacihasanoglu, E., & Soytas, U. (2013). Oil prices and emerging market exchange rates. Emerging Markets Finance and Trade, 49 (S1), 21-36.
  58. Wang, P., & Dunne, P. (2000). Sources of movements in real exchange rates: evidence from East Asian economies. Weltwirtschaftliches Archiv, 136(1), 158–70.
  59. Yousefi, A., & Wirjanto, T.S. (2004). The empirical role of the exchange rate on the crude-oil price formation. Energy Economics, 26(5), 783–799.
  60. Zhang, Y.J., Fan, Y., Tsai, H. T., & Wei, Y.M. (2008). Spillover effect of US dollar exchange rate on oil prices. Journal of Policy Modeling, 30(6), 973–991.
DOI: https://doi.org/10.2478/sbe-2023-0057 | Journal eISSN: 2344-5416 | Journal ISSN: 1842-4120
Language: English
Page range: 244 - 260
Published on: Jan 11, 2024
Published by: Lucian Blaga University of Sibiu
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year

© 2024 Olajide Raji Jimoh, Muhammad Adeel-Farooq Rana, Toyin Oyewole Tajudeen, published by Lucian Blaga University of Sibiu
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.