Global exchange rate configurations: Do oil shocks matter?

Livio Stracca, Maurizio Michael Habib and Sascha Buetzer

No 1442, Working Paper Series from European Central Bank

Abstract: Do oil shocks matter for exchange rates? This paper addresses this question based on data on real and nominal exchange rates as well as an exchange market pressure index for 44 advanced and emerging countries. We identify three structural shocks (oil supply, global demand, and oil specific demand) which raise the real oil price and analyse their effect on individual exchange rates. Contrary to the predictions of the theoretical literature, we find no evidence that exchange rates of oil exporters systematically appreciate against those of oil importers after shocks raising the real oil price. However, oil exporters experience significant appreciation pressures following an oil demand shock, which they tend to counter by accumulating foreign exchange reserves. Results for general commodity exporters are similar, showing minor differences compared with oil exporters. JEL Classification: F31, Q43

Keywords: Exchange market pressure; exchange rate; global imbalances; Oil; structural VAR (search for similar items in EconPapers)
Date: 2012-06
New Economics Papers: this item is included in nep-cwa, nep-ene, nep-mon and nep-opm
Note: 335958
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56)

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Journal Article: Global Exchange Rate Configurations: Do Oil Shocks Matter? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121442

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