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Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries

Md. Forhad () and Md. Rafayet Alam

Global Finance Journal, 2022, vol. 54, issue C

Abstract: This study examines the impact of structural oil demand and supply shocks, derived from a structural vector autoregression model proposed by Kilian (2009), on the real effective exchange rates (REER) of Indonesia, Malaysia, Singapore, Thailand, and the Philippines. Our results show that the REER of these countries are not impacted by oil supply shocks. Oil-specific demand shocks affect the REER of Thailand contemporaneously and those of Indonesia, Singapore, and the Philippines with a one-month lag. However, more than one-month-old oil-specific demand shocks usually do not affect the REER of these countries.

Keywords: Real effective exchange rates; Oil demand shocks; Oil supply shocks (search for similar items in EconPapers)
JEL-codes: F31 Q43 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.gfj.2021.100637

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