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January 2017 Oil Price-US Dollars Exchange Returns and Volatility Spillovers in OPEC Member Countries: Post Global Crisis Period's Analysis
OlaOluwa Simon YAYA, Saka LUQMAN, Damola M. AKINLANA, Mohammed Musa TUMALA, Ahamuefula E. OGBONNA
Afr. J. Appl. Stat. 4(1): 165-182 (January 2017). DOI: 10.16929/ajas/2017.165.208

Abstract

We investigate returns and volatility spillovers from oil to foreign exchange (FOREX) markets in oil-exporting countries using VARMA-GARCH framework with particular focus on OPEC members. The results indicate significant bi-directional return spillovers between oil and FOREX markets in OPEC countries. Local currencies of oil exporting countries appreciated against the US dollar with increases in oil prices, and vice versa. These findings are of importance to decision makers in the control of oil price inflationary shocks and exchange rates management in oil-exporting countries, as the framework provides proxy measurement for comparing oil-FOREX management in those countries.

Nous enquêtons sur la volatilité des rendements et les retombées provenant de l'huile au marché des changes(FOREX) les marché dans les pays exportateurs de pétrole au utilisant VARMA-cadre GARCH aves un accent particulier sur les membres de l'OPEP. Les résultats font apparaître d'importantes retombées retour bidirectionnelle entre l'huile et des changes dans les pays de l'OPEP. Monnaies locales des pays exportateurs de pétrole s'est apprécié par rapport au dollar américain avec des augmentations des prix du pétrole, et vice versa. Ces constatations sont d'importance pour les décideurs dan le contrôle des prix de pétrole les chocs inflationnister et les taux de change dans les pays exportateurs de pétrole, comme le Cadre fournit la mesure de comparaison de proxy-FOREX pétrole gestion dans ces pays.

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OlaOluwa Simon YAYA. Saka LUQMAN. Damola M. AKINLANA. Mohammed Musa TUMALA. Ahamuefula E. OGBONNA. "Oil Price-US Dollars Exchange Returns and Volatility Spillovers in OPEC Member Countries: Post Global Crisis Period's Analysis." Afr. J. Appl. Stat. 4 (1) 165 - 182, January 2017. https://doi.org/10.16929/ajas/2017.165.208

Information

Published: January 2017
First available in Project Euclid: 16 May 2019

Digital Object Identifier: 10.16929/ajas/2017.165.208

Subjects:
Primary: 62P20 , 91B70 , 91B82 , 91B84 , 91G70

Keywords: exchange rates market , oil market , OPEC , VARMA-GARCH model , volatility spillovers

Rights: Copyright © 2017 The Statistics and Probability African Society

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Vol.4 • No. 1 • January 2017
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