Oil Price-US Dollar Exchange Returns and Volatility Spillovers in OPEC Member Countries-Post Global Crisis Period's Analysis

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 signi cant 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.

Description

Keywords

Oil market, Exchange rates market, OPEC, Volatility spillovers

Citation

African Journal of Applied Statistics

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