Browsing by Author "Donkor, R.A."
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Item The Impact of Oil Price Volatility on Exchange Rate Volatility: A Study of Some Oil Dependent Economies(University of Ghana, 2018-07) Donkor, R.A.This research investigates the interrelation impact between oil price volatility and bilateral exchange rate volatility of selected oil – dependent countries and the causality pattern between them in the pre – and post 2008 -2009 global financial recession. Exchange rate volatility is for economies that are dependent on oil either for major industrial activities or for fiscal revenue. Thus, currencies exchange rates volatility examined in the study are for the Ghana cedi, Nigeria naira, South Africa rand, India rupee, Russia ruble; the euro and crude oil price is for West Texas Intermediate (WTI). Oil price volatility and exchange rate volatility are estimated using nonlinear models and interrelation impact between estimated volatilities as well as the causality pattern were done through linear models. Empirical findings revealed both unidirectional and bidirectional impact between oil price volatility and exchange rate volatility for major oil dependent countries (Russia ruble and Nigeria naira, Ghanaian cedi and Nigeria naira). This impact was particularly confirmed in the post crisis period, which was not too surprising because higher volatility in oil price and exchange rate was evident in that same period (see Appendix B, Panel B). However, Granger causality test confirmed this relationship particularly in the post crisis period. Keywords: Oil price volatility, Exchange rates volatility, Vector Autoregressive (VAR), GARCH, Exponential GARCH, Granger Causality, Pre-Financial Crisis, Post Financial Crisis.Item Oil Price Volatility And US Dollar Exchange Rate Volatility Of Some Oil-Dependent Economies(The Journal of International Trade & Economic Development, 2021) Donkor, R.A.; Mensah, L.; Sarpong-Kumankoma, E.This paper examines the relationship and related causality patterns of oil price volatility and exchange rate volatility of a group of oil-dependent economies before and after the 2008–2009 global financial crisis. We employed weekly time-series data of oil price and exchange rates for 2000–2007 (pre-crisis) and 2010–2016 (post-crisis). United States dollar exchange rates are for Ghanaian cedi, Nigerian naira, Russian ruble, Indian rupee, South African rand, and the Euro. To investigate the volatility impacts that exist between oil price and exchange rates during both sub-sample periods, we merged Vector Autoregressive (VAR) with GARCH and EGARCH models in the form of bivariate VAR-GARCH and VAR-EGARCH. We further adopted the Toda-Yamamoto causality test to investigate related causality patterns. Empirical findings revealed both a bilateral and unidirectional relationship between oil price volatility and exchange rates volatility of four out of the six oil-dependent economies considered for the study. These findings were more prevalent in the post-crisis period than the pre-crisis period. We also confirmed both bidirectional and unidirectional causality pattern between oil price volatility and exchange rate volatility of the same four currencies as observed with the VAR results in both sub-sample periods