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

Vitaly Pershin, Juan Carlos Molero and Fernando Pérez de Gracia ()
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Vitaly Pershin: University of Navarra

No 01/15, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

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 dataset 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 three selected countries displayed differing 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, implying that no general rule can be made for net oil importing sub-Saharan countries, such as Botswana, Kenya and Tanzania. From our analysis 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: 2015-08-27
New Economics Papers: this item is included in nep-afr and nep-ene
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Citations: View citations in EconPapers (1)

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http://www.unav.edu/documents/10174/6546776/UNAV_0115.pdf (application/pdf)

Related works:
Journal Article: Exploring the oil prices and exchange rates nexus in some African economies (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp0115

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