Logo
Munich Personal RePEc Archive

The impact of oil shocks on exchange rates: A Markov-switching approach

Syed Abul, Basher and Alfred A, Haug and Perry, Sadorsky (2015): The impact of oil shocks on exchange rates: A Markov-switching approach.

[thumbnail of MPRA_paper_68232.pdf]
Preview
PDF
MPRA_paper_68232.pdf

Download (759kB) | Preview

Abstract

This paper uses Markov-switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries. This is an important topic to study because an oil shock can affect a country’s terms of trade which can affect its competitiveness. We detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks. We find limited evidence that oil supply shocks affect exchange rates. Global economic demand shocks affect exchange rates in both oil exporting and importing countries, though there is no systematic pattern of appreciating and depreciating real exchange rates. The results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.