Exploring the oil prices and exchange rates nexus in some African economies

Vitaly Pershin, Juan Carlos Molero and Fernando Perez de Gracia

Journal of Policy Modeling, 2016, vol. 38, issue 1, 166-180

Abstract: This paper investigates the relationship between oil prices and exchange rates in three African countries using a Vector AutoRegressive (VAR) model. We use daily data on nominal exchange rates, oil prices and short term interbank interest rates from 01/12/2003 to 02/07/2014. The results suggest that the exchange rate of the three selected countries behavior is different in the event of an oil price shock, not only before and after the oil peak of July of 2008, but also between each other. Therefore, no general rule can be made for net oil importing sub-Saharan countries, such as Botswana, Kenya and Tanzania. We conclude that after an oil price peak, the Botswanan pula clearly appreciates against the US dollar, the Kenyan and Tanzanian shilling.

Keywords: Oil prices; Exchange rates; African economies; VAR model (search for similar items in EconPapers)
JEL-codes: F31 F41 Q43 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:38:y:2016:i:1:p:166-180

DOI: 10.1016/j.jpolmod.2015.11.001

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