Volatility Transmission between Oil Price and Exchange Rate

Arafet Hamida and Salah ben Nasr
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Arafet Hamida: Higher Institute of Management of Gabes, University of Gabes, Tunisia
Salah ben Nasr: Higher Institute of Management of Gabes, University of Gabes, Tunisia

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 5, 380-392

Abstract: This article presents a study on the transmission of oil price volatility to the exchange rates of 14 countries (net oil exporters and importers) during the period from 02/01/2000 to 31/11/2022. The aim is to compare the effect of oil price fluctuations on exchange rate volatility based on the country's nature. Using ARCH, GARCH, and GARCH-BEKK models, our results reveal that the real effective exchange rate is significantly linked to fluctuations in the real oil price for both categories of countries: oil importers and exporters. These findings have important implications for monetary, fiscal, inflationary, and trade policies for these countries.

Keywords: ARCH; GARCH; GARCH BEKK; Volatility; Oil Price; Exchange Rate (search for similar items in EconPapers)
JEL-codes: C22 E31 F31 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2024-05-39

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