Oil Price Volatility And US Dollar Exchange Rate Volatility Of Some Oil-Dependent Economies

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dc.contributor.authorDonkor, R.A.
dc.contributor.authorMensah, L.
dc.contributor.authorSarpong-Kumankoma, E.
dc.date.accessioned2024-05-27T11:31:14Z
dc.date.available2024-05-27T11:31:14Z
dc.date.issued2021
dc.descriptionResearch Articleen_US
dc.description.abstractThis 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 periodsen_US
dc.identifier.otherhttps://doi.org/10.1080/09638199.2021.1998581
dc.identifier.urihttp://ugspace.ug.edu.gh:8080/handle/123456789/42003
dc.language.isoenen_US
dc.publisherThe Journal of International Trade & Economic Developmenten_US
dc.subjectOil priceen_US
dc.subjectexchange rateen_US
dc.subjectoil-dependenten_US
dc.titleOil Price Volatility And US Dollar Exchange Rate Volatility Of Some Oil-Dependent Economiesen_US
dc.typeArticleen_US

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