期刊名称：Topics in Middle Eastern and North African Economies
出版年度：2016
卷号：18
期号：1
页码：1
出版社：Loyola University Chicago
摘要：The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations across selected MENA countries (including both commodity importers and exporters) and to examine the dynamic relationship between such shocks. We employed the asymmetry of volatility through the GJR-GARCH model using daily time series data covering the period between 2001 and mi-2015. We refer to impulse responses functions in order to test the dynamic relationships.Empirical results reveal that foreign exchange market and crude oil exhibit asymmetric and no asymmetric in the return series. Additionally, the findings show asymmetric response of volatilities to positive and negative shocks. Furthermore, the results suggest that there is a dynamic relationship among oil price shocks and exchange rate volatility. Indeed, in the short run, oil prices shocks had a significant impact on exchange rate changes. Finally, we found that in the case of oil-exporting country, the oil prices rise may experience exchange rate appreciation, while, the decrease of oil price leads to appreciation of the currency of oil importing countries. This implies that oil prices are a key variable in determining the strength of the currency and its volatility. Therefore, policy makers of most MENA countries should consider exchange rate and oil price fluctuations on their macroeconomic policies and diversify more their economics.
关键词：Oil price shocks; Exchange rate volatility; GJR-GARCH model; Asymmetries; Causality test; Impulsion function; MENA countries
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