Oil price shocks and exchange rate movements

Nikanor I. Volkov and Ky-hyang Yuhn

Global Finance Journal, 2016, vol. 31, issue C, 18-30

Abstract: This study investigates the effects of oil price shocks on exchange rate movements in five major oil-exporting countries: Russia, Brazil, Mexico, Canada, and Norway. The R2 of the fundamental model doubles in Russia and Brazil, but increases slightly in Canada and Norway when oil prices are added to it. The volatility of exchange rates associated with oil price shocks is significant in Russia, Brazil, and Mexico, but weak in Norway and Canada. It takes much longer for the exchange rate to reach the initial equilibrium level in Russia, Brazil, and Mexico than in Norway and Canada. The asymmetric behavior of exchange rate volatility among countries seems to be related to the efficiency of financial markets rather than to the importance of oil revenues in the economy.

Keywords: Exchange rates; Oil prices; Conditional exchange rate volatility (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1044028316301375
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:31:y:2016:i:c:p:18-30

DOI: 10.1016/j.gfj.2016.11.001

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().