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The Impact of Oil Shocks on Exchange Rates: The Case of Selected OPEC Countries

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Listed:
  • Shahram Fattahi
  • Zainab Moridi
  • Rasoul Moridi
Abstract
OPEC countries are heavily dependent on oil dollar revenues through which impact on exchange rates. The purpose of this study is to investigate the effect of oil shocks on the real exchange rates for selected OPEC countries for the period 1980-2018. The oil shocks are first obtained using the vector auto-regression model and then their effects on the exchange rates are estimated using a panel quantile regression model. The results show that effect of oil shocks on exchange rates varies across quantiles. The oil specific-demand shock and global demand shock have a negative and significant effect on the real exchange rates while the oil supply shock has a positive and significant effect on the real exchange rates in OPEC countries. Furthermore, oil specific-demand shock has the most impact on the real exchange rates.

Suggested Citation

  • Shahram Fattahi & Zainab Moridi & Rasoul Moridi, 2021. "The Impact of Oil Shocks on Exchange Rates: The Case of Selected OPEC Countries," Applied Finance and Accounting, Redfame publishing, vol. 7(2), pages 1-8, December.
    • Handle: RePEc:rfa:afajnl:v:7:y:2021:i:2:p:1-8
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    References listed on IDEAS

    as
    1. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
    2. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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