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

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dc.contributor.authorYaya, OlaOluwa S
dc.contributor.authorSaka, Luqman
dc.contributor.authorDamola, Akinlana M
dc.contributor.authorTumala, Mohammed M
dc.contributor.authorOgbonna, Ahamuefula E
dc.date.accessioned2018-11-30T13:33:52Z
dc.date.available2018-11-30T13:33:52Z
dc.date.issued2017
dc.description.abstractWe 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.en_US
dc.identifier.citationAfrican Journal of Applied Statisticsen_US
dc.identifier.issnhttp://dx.doi.org/10.16929/ajas/2017.165.208
dc.identifier.urihttp://hdl.handle.net/123456789/1290
dc.language.isoenen_US
dc.publisherAfrican Society for Probability and Statisticsen_US
dc.relation.ispartofseriesVolume 4, Number 1, pp. 191-208, 2017;
dc.subjectOil marketen_US
dc.subjectExchange rates marketen_US
dc.subjectOPECen_US
dc.subjectVolatility spilloversen_US
dc.titleOil Price-US Dollar Exchange Returns and Volatility Spillovers in OPEC Member Countries-Post Global Crisis Period's Analysisen_US
dc.typeArticleen_US

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