Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period
Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing...
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| Format: | Article |
| Language: | English |
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EconJournals
2023-07-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | http://econjournals.com/index.php/ijeep/article/view/14065 |
| _version_ | 1797780947390693376 |
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| author | Afaq Aslanova Simuzar Mammadova |
| author_facet | Afaq Aslanova Simuzar Mammadova |
| author_sort | Afaq Aslanova |
| collection | DOAJ |
| description |
Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this research is to investigate the relationship between the exchange rates of Brent oil, crude oil (WTI), natural gas, the US dollar index, and the Russian ruble. In the study, weekly data between February 6, 2022, and December 25, 2022 were examined. A vector autoregressive model (VAR) was used to examine the relationship between the variables included in the analysis, and the direction of the relationship between the variables was determined by the Granger causality test. According to the results of the VAR model, the WTI price has a significant effect on the USD/RUB rate, but the USD/RUB rate does not have a significant effect on the Brent and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis.
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| first_indexed | 2024-03-12T23:50:59Z |
| format | Article |
| id | doaj.art-16fd030377f54078887e470f772d13a3 |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-03-12T23:50:59Z |
| publishDate | 2023-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-16fd030377f54078887e470f772d13a32023-07-13T14:35:06ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532023-07-0113410.32479/ijeep.14065Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War PeriodAfaq Aslanova0Simuzar Mammadova1Azerbaijan State University of Economics (UNEC), Azerbaijan.Azerbaijan State University of Economics (UNEC), Azerbaijan. Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this research is to investigate the relationship between the exchange rates of Brent oil, crude oil (WTI), natural gas, the US dollar index, and the Russian ruble. In the study, weekly data between February 6, 2022, and December 25, 2022 were examined. A vector autoregressive model (VAR) was used to examine the relationship between the variables included in the analysis, and the direction of the relationship between the variables was determined by the Granger causality test. According to the results of the VAR model, the WTI price has a significant effect on the USD/RUB rate, but the USD/RUB rate does not have a significant effect on the Brent and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis. http://econjournals.com/index.php/ijeep/article/view/14065Brent oilcrude oilstock market indexrubleUS dollar index |
| spellingShingle | Afaq Aslanova Simuzar Mammadova Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period International Journal of Energy Economics and Policy Brent oil crude oil stock market index ruble US dollar index |
| title | Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period |
| title_full | Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period |
| title_fullStr | Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period |
| title_full_unstemmed | Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period |
| title_short | Econometric Analysis of the Effect of Energy Prices on Exchange Rates During War Period |
| title_sort | econometric analysis of the effect of energy prices on exchange rates during war period |
| topic | Brent oil crude oil stock market index ruble US dollar index |
| url | http://econjournals.com/index.php/ijeep/article/view/14065 |
| work_keys_str_mv | AT afaqaslanova econometricanalysisoftheeffectofenergypricesonexchangeratesduringwarperiod AT simuzarmammadova econometricanalysisoftheeffectofenergypricesonexchangeratesduringwarperiod |