Volatility Transmission between Oil Price and Exchange Rate

Authors

  • Arafet Hamida Higher Institute of Management of Gabes, University of Gabes, Tunisia
  • Salah ben Nasr Higher Institute of Management of Gabes, University of Gabes, Tunisia

DOI:

https://doi.org/10.32479/ijeep.15801

Keywords:

ARCH, GARCH, GARCH BEKK, Volatility, Oil Price, Exchange Rate

Abstract

This article presents a study on the transmission of oil price volatility to the exchange rates of 14 countries (net oil exporters and importers) during the period from 02/01/2000 to 31/11/2022. The aim is to compare the effect of oil price fluctuations on exchange rate volatility based on the country's nature. Using ARCH, GARCH, and GARCH-BEKK models, our results reveal that the real effective exchange rate is significantly linked to fluctuations in the real oil price for both categories of countries: oil importers and exporters. These findings have important implications for monetary, fiscal, inflationary, and trade policies for these countries.

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Published

2024-09-07

How to Cite

Hamida, A., & Nasr, S. ben. (2024). Volatility Transmission between Oil Price and Exchange Rate. International Journal of Energy Economics and Policy, 14(5), 380–392. https://doi.org/10.32479/ijeep.15801

Issue

Vol. 14 No. 5 (2024)

Section

Articles

License

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