Have a personal or library account? Click to login
Do Exchange Rates Respond Asymmetrically to Crude Oil Market Shocks? Insights from BRICS and Pakistan Cover

Do Exchange Rates Respond Asymmetrically to Crude Oil Market Shocks? Insights from BRICS and Pakistan

Open Access
|Jun 2024

References

  1. Ahmadi, M., Behmiri, N. B., & Manera, M. (2016). How is volatility in commodity markets linked to oil price shocks?. Energy Economics, 59(C), 11-23. DOI: 10.1016/j.eneco.2016.07.006
  2. Akram, Q. F. (2009). Commodity prices, interest rates and the dollar. Energy economics, 31(6), 838-851. DOI:10.1016/j.eneco.2009.05.016
  3. Aleisa, E. A., & Dibooĝlu, S. (2002). Sources of real exchange rate movements in Saudi Arabia. Journal of Economics and Finance, 26(1), 101-110. DOI: 10.1007/BF02744455
  4. Al-mulali, U., & Che Sab, C. N. B. (2012). Oil prices and the real exchange rate in oil-exporting countries. OPEC Energy Review, 36(4), 375-382. DOI: 10.1111/opec.2012.36.issue-4
  5. 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.DOI: 10.1016/s02615606(98)00004-7.
  6. Ang, A., & Bekaert, G. (2002). Regime switches in interest rates. Journal of Business and Economic Statistics, 20(2), 163-182. https://doi.org/10.1198/073500102317351930
  7. Antonakakis, N., Chatziantoniou, I., & Filis, G. (2017). Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. International Review of Financial Analysis, 50(3), 1-26. DOI: 10.1016/j.irfa.2017.01.004
  8. Antonio J, G., & Luis A, H. (2022). Inflation, oil prices and exchange rates. The Euro’s dampening effect. Journal of Policy Modeling, 44(1), 130-146. DOI:10.1016/j.jpolmod.2021.12.001 Apergis, N., &Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy economics, 31(4), 569-575. DOI:10.1016/j.eneco.2009.03.001
  9. Atems, B., Kapper, D., & Lam, E. (2015). Do exchange rates respond asymmetrically to shocks in the crude oil market? Energy Economics, 49(3), 227-238. DOI: 10.1016/j.eneco.2015.01.027
  10. Azman Aziz, M. I., & Bakar, A. (2011). Oil price and exchange rate: A comparative study between net oil exporting and net oil importing countries. European Journal of Economics, Finance and Administrative Sciences, (42), 13-28.
  11. Baek, J. (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, 74, 553-559. DOI: 10.1016/j.eap.2022.03.015
  12. Basher, S. A., Haug, A. A., & Sadorsky, P. (2016). The impact of oil shocks on exchange rates: A Markov-switching approach. Energy Economics, 54(2), 11-23. DOI: 10.1016/j.eneco.2015.12.004
  13. Beckmann, J., Czudaj, R. L., & Arora, V. (2020). The relationship between oil prices and exchange rates: Revisiting theory and evidence. Energy Economics, 88(2020), 1-12,104772. DOI: 10.1016/j.eneco.2020.104772
  14. Bénassy-Quéré, A., Mignon, V., & Penot, A. (2007). China and the relationship between the oil price and the dollar. Energy policy, 35(11), 5795-5805.DOI:10.1016/j.enpol.2007.05.035
  15. Blomberg, S. B., and Harris, E. S. (1995). The commodity-consumer price connection: fact or fable?. Economic Policy Review, 1(3),21–38.
  16. Breitenfellner, A., & Cuaresma, J. C. (2008). Crude oil prices and the USD/EUR exchange rate. Monetary Policy and the Economy, 4(2008), 102-121.
  17. Chen, H., Liu, L., Wang, Y., & Zhu, Y. (2016). Oil price shocks and US dollar exchange rates. Energy, 112(10), 1036-1048. DOI: 10.1016/j.energy.2016.07.012
  18. Chen, S. S., & Chen, H. C. (2007). Oil prices and real exchange rates. Energy economics, 29(3), 390-404. DOI: 10.1016/j.eneco.2006.08.003
  19. Chen, Y. C., Rogoff, K. S., & Rossi, B. (2010). Can exchange rates forecast commodity prices?. The Quarterly Journal of Economics, 125(3), 1145-1194. https://doi.org/10.1162/qjec.2010.125.3.1145
  20. Dawson, J. C. (2006), The Effect of Oil Prices on Exchange Rates: A Case Study of The Dominican Republic. The Park Place Economist, 14(2), 1-9.
  21. Delgado, N. A. B., Delgado, E. B., & Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: evidence from Mexico. The North American Journal of Economics and Finance, 45, 266-275. DOI: 10.1016/j.najef.2018.03.006
  22. Dumrongrittikul, T., & Anderson, H. M. (2016). How do shocks to domestic factors affect real exchange rates of Asian developing countries? Journal of Development Economics, 119(3), 67-85. DOI: 10.1016/j.jdeveco.2015.10.004
  23. Fowowe, B. (2014). Modelling the oil price–exchange rate nexus for South Africa. International Economics, 140, 36-48. DOI: 10.1016/j.inteco.2014.06.002
  24. Fratzscher, M., Schneider, D., & Van Robays, I. (2014). Oil prices, exchange rates and asset prices (Working paper series no 1689). European Central Bank, Frankfurt, Germany. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2277448
  25. 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. DOI: 10.1016/j.apenergy.2010.10.043 .
  26. Ghosh, S., & Kanjilal, K. (2016). Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests. Energy Economics, 53, 111-117. DOI: 10.1016/j.eneco.2014.11.002.
  27. Golub, S.(1983). Oil price and exchange rates. Econ Journal, 93,576–593. https://doi.org/10.2307/2232396.
  28. Habib, M. M., Butzer, S., & Stracca, L. (2016). Global exchange rate configurations: Do oil shocks matter? IMF Economic Review, 64(3),443–470. DOI: 10.1057/imfer.2016.9.
  29. Hamilton, J. D. (1983). Oil and the macro economy since World War II. Journal of Political Economy, 91(2), 228-248. DOI: 10.1086/261140.
  30. Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363-398. DOI 10.1016/S0304-4076(02)00207-5
  31. Hamilton, J. D. (2009). Causes and Consequences of the Oil Shock of 2007-08 (No. w15002). National Bureau of Economic Research. Working Paper 15002. DOI:10.3386/w15002.
  32. Hasanov, F. (2010). The impact of real oil price on real effective exchange rate: The case of Azerbaijan. MPRA Paper No. 33493, University Library of Munich, Germany. https://mpra.ub.unimuenchen.de/33493/1/MPRA_paper_33493.pdf
  33. Hashmi, S. M., Chang, B. H., Huang, L., & Uche, E. (2022). Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model. Resources Policy, 75(2022), 102543. DOI: 10.1016/j.resourpol.2021.102543
  34. Huang, S., An, H., & Lucey, B. (2020). How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective. Energy Economics, 86(2020),1-14, 104641. DOI: 10.1016/j.eneco.2019.104641
  35. Huang, Y., & Feng, G. U. O. (2007). The role of oil price shocks on China’s real exchange rate. China Economic Review, 18(4), 403-416.DOI: 10.1016/j.chieco.2006.02.003
  36. Hussain, M., Zebende, G. F., Bashir, U., & Donghong, D. (2017). Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach. Physica A: Statistical Mechanics and its Applications, 465, 338-346. DOI: 10.1016/j.physa.2016.08.056
  37. Ji, Q., Liu, M. L., & Fan, Y. (2015). Effects of structural oil shocks on output, exchange rate, and inflation in the BRICS countries: A structural vector auto regression approach. Emerging Markets Finance and Trade, 51(6), 1129-1140. https://doi.org/10.1080/1540496X.2015.1080505
  38. Jiang, Y., Feng, Q., Mo, B., & Nie, H. (2020). Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches. The North American Journal of Economics and Finance, 52(C),1-32, 101161. DOI:10.1016/j.najef.2020.101161
  39. Kang, W., Ratti, R. A., & Vespignani, J. (2016). The impact of oil price shocks on the US stock market: A note on the roles of US and non-US oil production. Economics Letters, 145, 176–181. DOI: 10.24149/gwp249
  40. Kang, W., Ratti, R. A., & Yoon, K. H. (2015). Time-varying effect of oil market shocks on the stock market. Journal of Banking and Finance, 61(2), S150-S163. DOI: 10.1016/j.jbankfin.2015.08.027
  41. Kaushik, N., Nag, R., & Upadhyaya, K. P. (2014). Oil price and real exchange rate: The case of India. The International Business and Economics Research Journal (Online), 13(4), 809-814. DOI https://doi.org/10.19030/iber.v13i4.8688
  42. Kilian, L. (2008). A comparison of the effects of exogenous oil supply shocks on output and inflation in the G7 countries. Journal of the European Economic Association, 6(1), 78-121. DOI: 10.1162/JEEA.2008.6.1.78
  43. Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053-69. DOI:10.1257/aer.99.3.1053
  44. Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287.
  45. Kin, S., & Courage, M. (2014). The impact of oil prices on the exchange rate in South Africa. Journal of Economics, 5(2), 193-199.DOI: 10.1080/09765239.2014.11884996
  46. Koop, G., Leon-Gonzalez, R., & Strachan, R. W. (2009). On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33(4), 997-1017. DOI: 10.1016/j.jedc.2008.11.003
  47. Krugman, P.(1983). Oil shocks and exchange rate dynamics. In: 3. NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 259-284, National Bureau of Economic Research.
  48. Kumar, S. (2019). Asymmetric impact of oil prices on exchange rate and stock prices. The Quarterly Review of Economics and Finance, 72, 41-51. DOI: 10.1016/j.qref.2018.12.009
  49. Lee, C. C., & Lee, C. C. (2019). Oil price shocks and Chinese banking performance: Do country risks matter?. Energy Economics, 77(C), 46-53. DOI:10.1016/j.eneco.2018.01.010
  50. Lee, C. Y., & Huh, S. Y. (2017). Forecasting the diffusion of renewable electricity considering the impact of policy and oil prices: The case of South Korea. Applied energy, 197, 29-39. DOI: 10.1016/j.apenergy.2017.03.124
  51. Lee, J. H., Byun, H. S., & Park, K. S. (2019). How does product market competition affect corporate takeover in an emerging economy?. International Review of Economics and Finance, 60, 26-45. DOI: 10.1016/j.apenergy.2017.03.124
  52. Lee, K., Ni, S., & Ratti, R. A. (1995). Oil shocks and the macroeconomy: the role of price variability. The Energy Journal, 16(4),39-56. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol16-No4-2
  53. Lin, B., & Su, T. (2020). Mapping the oil price-stock market nexus researches: A scientometric review. International Review of Economics and Finance, 67(2020), 133–147. https://doi.org/10.1016/j.iref.2020.01.007.
  54. Lin, B., & Su, T. (2020). Does oil price have similar effects on the exchange rates of BRICS?. International Review of Financial Analysis, 69(2020), 101461. DOI: 10.1016/j.irfa.2020.101461
  55. Lizardo, R. A., & Mollick, A. V. (2010). Oil price fluctuations and US dollar exchange rates. Energy Economics, 32(2), 399-408.DOI: 10.1016/j.eneco.2009.10.005
  56. Malik, F., & Umar, Z. (2019). Dynamic connectedness of oil price shocks and exchange rates. Energy Economics, 84(2019), 104501. https://doi.org/10.1016/j.eneco.2019.104501.
  57. Mensah, L., Obi, P., & Bokpin, G. (2017). Cointegration test of oil price and us dollar exchange rates for some oil dependent economies. Research in International Business and Finance, 42, 304-311. DOI: 10.1016/j.ribaf.2017.07.141
  58. Narayan, P. K., & Gupta, R. (2015). Has oil price predicted stock returns for over a century?. Energy Economics, 48, 18-23. DOI: 10.1016/j.eneco.2014.11.018
  59. 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. DOI:10.1016/j.eneco.2008.03.003
  60. Narayan, P. K., Sharma, S., Poon, W. C., & Westerlund, J. (2014). Do oil prices predict economic growth? New global evidence. Energy economics, 41, 137-146. DOI: 10.1016/j.eneco.2013.11.003
  61. Nouira, R., Amor, T. H., & Rault, C. (2019). Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non causality tests. The Quarterly Review of Economics and Finance, 73, 159-171. DOI: 10.1016/j. qref.2018.07.011
  62. Ono, S. (2011). Oil price shocks and stock markets in BRICs. The European Journal of Comparative Economics, 8(1), 29-45.
  63. Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy economics, 30(5), 2587-2608.DOI:10.1016/j.eneco.2008.04.003
  64. Pershin, V., Molero, J. C., & de Gracia, F. P. (2016). Exploring the oil prices and exchange rates nexus in some African economies. Journal of Policy Modeling, 38(1), 166-180. DOI: 10.1016/j. jpolmod.2015.11.001
  65. Ready, R. C. (2018). Oil prices and the stock market. Review of Finance, 22(1), 155–176. DOI:10.1093/rof/rfw071
  66. Reboredo, J. C. (2012). Modelling oil price and exchange rate co-movements. Journal of Policy Modeling, 34(3), 419-440. DOI: 10.1016/j.jpolmod.2011.10.005
  67. Roubaud, D., and Arouri, M. (2018). Oil prices, exchange rates and stock markets under uncertainty and regime-switching. Finance Research Letters, 27, 28-33. DOI: 10.1016/j.frl.2018.02.032
  68. Castro Rozo, C., & Jiménez-Rodríguez, R. (2018). Time-varying relationship between oil price and exchange rate. MPRA Working paper No. 87879. https://mpra.ub.uni-muenchen.de/87879/1/MPRA_paper_87879.pdf
  69. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy economics, 21(5), 449-469.
  70. Sadorsky, P. (2000). The empirical relationship between energy futures prices and exchange rates. Energy Economics, 22(2), 253–266.
  71. Shair, G., Ali, A., & Siraj, W. (2015). Crude oil prices and Pakistani Rupee-US dollar Exchange Rate: An analysis of Preliminary Evidence. European Journal of Business and Management, 7(7), 442-447
  72. Sujit, K. S., & Ray, S. (2023). Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE. Resources Policy, 83, 103633. DOI: 10.1016/j.resourpol.2023.103633
  73. Wang, Y., Wu, C., & Yang, L. (2013). Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries. Journal of Comparative Economics, 41(4), 1220-1239. DOI: 10.1016/j.jce.2012.12.004
  74. Yang, L., Cai, X. J., & Hamori, S. (2017). Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis. International Review of Economics and Finance, 49, 536-547. DOI: 10.1016/j.iref.2017.03.015
  75. Youssef, M., & Mokni, K. (2020). Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. Journal of Multinational Financial Management, 55, 100625. DOI: 10.1016/j.mulfin.2020.100625
  76. 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. DOI:10.1016/j.eneco.2004.06.001
  77. Zhang, X., & Baek, J. (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, 112, 106178. DOI: 10.1016/j.eneco.2022.106178
  78. Zhang, Y. F., Fan. Y., Tsai, H.T., & Wei, Y.M. (2008). Spillover effect of US dollar exchange rate on oil prices. Journal of Policy Model, 30(6),973–991. DOI: 10.1016/j.jpolmod.2008.02.002
DOI: https://doi.org/10.2478/zireb-2024-0002 | Journal eISSN: 1849-1162 | Journal ISSN: 1331-5609
Language: English
Page range: 31 - 62
Published on: Jun 3, 2024
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2024 Abdul Rashid, Zainab Jehan, Maria Tahira, Amir Javed, published by University of Zagreb, Faculty of Economics & Business
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.