An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models
This article examines the long-run interactions between real oil prices and real exchange rates in five oil-exporting African countries: Egypt, Ghana, Nigeria, South Africa and Tunisia. To accomplish this, symmetric and asymmetric cointegration tests and an error-correction modelling technique are a...
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| Format: | Article |
| Language: | English |
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SAGE Publications
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/55013/ http://psasir.upm.edu.my/id/eprint/55013/1/An%20analysis%20of%20real%20oil%20prices%20and%20real%20exchange%20rates%20in%20five%20African%20countries.pdf |
| _version_ | 1848852692465614848 |
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| author | Ngoma, Abubakar Lawan Ismail, Normaz Wana Yusop, Zulkornain |
| author_facet | Ngoma, Abubakar Lawan Ismail, Normaz Wana Yusop, Zulkornain |
| author_sort | Ngoma, Abubakar Lawan |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This article examines the long-run interactions between real oil prices and real exchange rates in five oil-exporting African countries: Egypt, Ghana, Nigeria, South Africa and Tunisia. To accomplish this, symmetric and asymmetric cointegration tests and an error-correction modelling technique are applied. The results of the analysis reveal evidence of long-run co-movements between real oil prices and real exchange rates. More specifically, this involved symmetric adjustment of the real exchange rates to the long-run equilibrium values in Egypt, South Africa and Tunisia, caused by changes in real oil prices. Further evidence of persistence, as well as asymmetric adjustments of the real exchange rates to the long-run equilibrium path, were found to exist following an increase in oil price shocks in Ghana and Nigeria. Moreover, the analysis of short-run dynamics between real oil prices and real exchange rates produces evidence of real exchange rate appreciations in Nigeria, South Africa and Tunisia and real exchange rate fluctuations in Egypt and Ghana. |
| first_indexed | 2025-11-15T10:42:07Z |
| format | Article |
| id | upm-55013 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:42:07Z |
| publishDate | 2016 |
| publisher | SAGE Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-550132018-07-12T09:44:30Z http://psasir.upm.edu.my/id/eprint/55013/ An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models Ngoma, Abubakar Lawan Ismail, Normaz Wana Yusop, Zulkornain This article examines the long-run interactions between real oil prices and real exchange rates in five oil-exporting African countries: Egypt, Ghana, Nigeria, South Africa and Tunisia. To accomplish this, symmetric and asymmetric cointegration tests and an error-correction modelling technique are applied. The results of the analysis reveal evidence of long-run co-movements between real oil prices and real exchange rates. More specifically, this involved symmetric adjustment of the real exchange rates to the long-run equilibrium values in Egypt, South Africa and Tunisia, caused by changes in real oil prices. Further evidence of persistence, as well as asymmetric adjustments of the real exchange rates to the long-run equilibrium path, were found to exist following an increase in oil price shocks in Ghana and Nigeria. Moreover, the analysis of short-run dynamics between real oil prices and real exchange rates produces evidence of real exchange rate appreciations in Nigeria, South Africa and Tunisia and real exchange rate fluctuations in Egypt and Ghana. SAGE Publications 2016-03 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/55013/1/An%20analysis%20of%20real%20oil%20prices%20and%20real%20exchange%20rates%20in%20five%20African%20countries.pdf Ngoma, Abubakar Lawan and Ismail, Normaz Wana and Yusop, Zulkornain (2016) An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models. Foreign Trade Review, 51 (2). pp. 1-18. ISSN 0015-7325 10.1177/0015732515625718 |
| spellingShingle | Ngoma, Abubakar Lawan Ismail, Normaz Wana Yusop, Zulkornain An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models |
| title | An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models |
| title_full | An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models |
| title_fullStr | An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models |
| title_full_unstemmed | An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models |
| title_short | An analysis of real oil prices and real exchange rates in five African countries: applying symmetric and asymmetric cointegration models |
| title_sort | analysis of real oil prices and real exchange rates in five african countries: applying symmetric and asymmetric cointegration models |
| url | http://psasir.upm.edu.my/id/eprint/55013/ http://psasir.upm.edu.my/id/eprint/55013/ http://psasir.upm.edu.my/id/eprint/55013/1/An%20analysis%20of%20real%20oil%20prices%20and%20real%20exchange%20rates%20in%20five%20African%20countries.pdf |