The Impact of Oil Price Volatility on Exchange Rate Volatility: A Study of Some Oil Dependent Economies

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dc.contributor.authorDonkor, R.A.
dc.date.accessioned2019-06-11T09:56:24Z
dc.date.available2019-06-11T09:56:24Z
dc.date.issued2018-07
dc.descriptionMPhil.en_US
dc.description.abstractThis 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.en_US
dc.identifier.urihttp://ugspace.ug.edu.gh/handle/123456789/30618
dc.language.isoenen_US
dc.publisherUniversity of Ghanaen_US
dc.subjectOil Price Volatilityen_US
dc.subjectExchange Rateen_US
dc.subjectVector Autoregressive (VAR),en_US
dc.titleThe Impact of Oil Price Volatility on Exchange Rate Volatility: A Study of Some Oil Dependent Economiesen_US
dc.typeThesisen_US

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