A new look at the oil price-exchange rate nexus: Asymmetric evidence from selected OPEC member countries

Jungho Baek

Economic Analysis and Policy, 2021, vol. 70, issue C, 172-181

Abstract: In the present article, we contribute to the literature by applying a nonlinear autoregressive distributed lag (NARDL) method by Shin et al. (2014) to assess whether oil price fluctuations asymmetrically influence real exchange rates for oil-exporting countries, specifically selected six OPEC member countries. We discover that the price of crude oil seems to have an asymmetric effect on real exchange rates for the OPEC members with a floating exchange rate regime in both the long-and short-run. However, there is no evidence of the oil price asymmetry for the OPEC members with a fixed exchange rate regime in the long- and short-run. Thus, we conclude that asymmetry impacts appear to vary depending on the different types of exchange rate regimes in each of OPEC members.

Keywords: Asymmetry; Oil prices; Exchange rates; NARDL; OPEC (search for similar items in EconPapers)
JEL-codes: C22 F31 Q43 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:70:y:2021:i:c:p:172-181

DOI: 10.1016/j.eap.2021.02.008

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