Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries
This article investigates the effects of oil price shocks on different quantiles of real exchange rates of selected OPEC member countries (Islamic republic of Iran, Nigeria, Algeria and Saudi Arabia) from January 1993 to December 2018 with quantile regression approach. The result indicates that posi...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2020-11-01
|
| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_4833_a1381ae649afffc4fc5695199325ac40.pdf |
| _version_ | 1797296702448730112 |
|---|---|
| author | Masoud Amani Kiumars Shahbazi Seyed Jamaleddin Mohseni zonouzi |
| author_facet | Masoud Amani Kiumars Shahbazi Seyed Jamaleddin Mohseni zonouzi |
| author_sort | Masoud Amani |
| collection | DOAJ |
| description | This article investigates the effects of oil price shocks on different quantiles of real exchange rates of selected OPEC member countries (Islamic republic of Iran, Nigeria, Algeria and Saudi Arabia) from January 1993 to December 2018 with quantile regression approach. The result indicates that positive and negative oil price shocks have asymmetric effects on different quantiles of real exchange rates affected by market conditions. Rising oil prices at lower quantiles of real exchange rates, because of central bank intervention effect, and at the medium quantiles because of increase in import of industrial and semi-industrial goods lead to USD appreciation against the currency of Iran, Nigeria and Algeria while at upper quantiles has no meaningful effect on real exchange rate of these four countries. Also, falling oil prices only lead to deprecation of SAR against USD at lower quantiles of exchange rate. Ultimately current result confirms the Balassa-Samuelson effect for all of these countries. |
| first_indexed | 2024-03-07T22:08:37Z |
| format | Article |
| id | doaj.art-e0dc3e9469c54f16a8a06ee7d8f804fd |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:37Z |
| publishDate | 2020-11-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-e0dc3e9469c54f16a8a06ee7d8f804fd2024-02-23T18:41:46ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502020-11-0154336210.22075/jem.2021.21699.15164833Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countriesMasoud Amani0Kiumars Shahbazi1Seyed Jamaleddin Mohseni zonouzi2Ph.D Student in Economics, Faculty of Economics and Management, Urmia UniversityProfessor, Faculty of Economics and Management, Urmia UniversityAssociate Professor, Faculty of Economics and Management, Urmia UniversityThis article investigates the effects of oil price shocks on different quantiles of real exchange rates of selected OPEC member countries (Islamic republic of Iran, Nigeria, Algeria and Saudi Arabia) from January 1993 to December 2018 with quantile regression approach. The result indicates that positive and negative oil price shocks have asymmetric effects on different quantiles of real exchange rates affected by market conditions. Rising oil prices at lower quantiles of real exchange rates, because of central bank intervention effect, and at the medium quantiles because of increase in import of industrial and semi-industrial goods lead to USD appreciation against the currency of Iran, Nigeria and Algeria while at upper quantiles has no meaningful effect on real exchange rate of these four countries. Also, falling oil prices only lead to deprecation of SAR against USD at lower quantiles of exchange rate. Ultimately current result confirms the Balassa-Samuelson effect for all of these countries.https://jem.semnan.ac.ir/article_4833_a1381ae649afffc4fc5695199325ac40.pdfquantile regressionexchange ratesoil price shocks |
| spellingShingle | Masoud Amani Kiumars Shahbazi Seyed Jamaleddin Mohseni zonouzi Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries مدلسازی اقتصادسنجی quantile regression exchange rates oil price shocks |
| title | Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries |
| title_full | Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries |
| title_fullStr | Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries |
| title_full_unstemmed | Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries |
| title_short | Quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected OPEC member countries |
| title_sort | quantile regression approach in investigation of the effects of oil price shocks on exchange rates of selected opec member countries |
| topic | quantile regression exchange rates oil price shocks |
| url | https://jem.semnan.ac.ir/article_4833_a1381ae649afffc4fc5695199325ac40.pdf |
| work_keys_str_mv | AT masoudamani quantileregressionapproachininvestigationoftheeffectsofoilpriceshocksonexchangeratesofselectedopecmembercountries AT kiumarsshahbazi quantileregressionapproachininvestigationoftheeffectsofoilpriceshocksonexchangeratesofselectedopecmembercountries AT seyedjamaleddinmohsenizonouzi quantileregressionapproachininvestigationoftheeffectsofoilpriceshocksonexchangeratesofselectedopecmembercountries |