Oil Price-US Dollar Exchange Returns and Volatility Spillovers in OPEC Member Countries-Post Global Crisis Period's Analysis
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Date
2017
Journal Title
Journal ISSN
Volume Title
Publisher
African Society for Probability and Statistics
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