Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach
Alfred Haug and
Syed Abul Basher
Applied Economics, 2019, vol. 51, issue 48, 5282-5296
Abstract:
This paper models logistic and exponential smooth transition adjustments of real exchange rates for six major oil-exporting countries in response to different shocks affecting oil prices. The logistic form captures asymmetric and the exponential form symmetric adjustments in regards to positive and negative oil price shocks. We chose oil-exporting countries that do not peg their exchange rates. For most countries, we detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to oil supply shocks, idiosyncratic oil-market-specific shocks, and speculative oil-market shocks. Exceptions are oil supply shocks in the UK and possibly Brazil, where exchange rates respond nonlinearly, though the effects are symmetric for both countries. On the other hand, global aggregate demand shocks, which are shocks not originating directly in the oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and nonlinear symmetric effects for Brazil and the UK.
Date: 2019
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Working Paper: Exchange rates of oil exporting countries and global oil price shocks: A nonlinear smooth-transition approach (2017) 
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Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:51:y:2019:i:48:p:5282-5296
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DOI: 10.1080/00036846.2019.1612031
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