English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

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 bidirectional and unidirectional relationship between oil price volatility and the 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.

Oil price volatility and US dollar exchange rate volatility of some oil-dependent economies