Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries?
We estimated the relationship between the exchange rates and crude oil prices for the period of 1960 to 2013. Based on Engle-Granger we found that the variables are cointegrated means there exist long-run relationship. However, when we move on to TAR and MTAR models the findings are opposite as ther...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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International Institute for Science, Technology & Education
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/56392/ http://psasir.upm.edu.my/id/eprint/56392/1/Dynamic%20relationship%20of%20exchange%20rates%20and%20crude%20oil%20prices%20in%20South%20Africa%20are%20there%20asymmetries.pdf |
| _version_ | 1848853070346190848 |
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| author | Ali, Hamisu Sadi Mukhtar, Umar Tijani, Bulama Abiso Auwal, Abdullahi Muhammad |
| author_facet | Ali, Hamisu Sadi Mukhtar, Umar Tijani, Bulama Abiso Auwal, Abdullahi Muhammad |
| author_sort | Ali, Hamisu Sadi |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | We estimated the relationship between the exchange rates and crude oil prices for the period of 1960 to 2013. Based on Engle-Granger we found that the variables are cointegrated means there exist long-run relationship. However, when we move on to TAR and MTAR models the findings are opposite as there is no element of cointegration and the speed of adjustment is symmetric. This shows that based on TAR and MTAR models the effects of exchange rates on crude oil prices is insignificant. The policy relevance is that South African authority need to monitor its exchange rates persistently related to other currencies more especially American dollar because it determined the crude oil prices that might have greater influences on other macroeconomic variables. |
| first_indexed | 2025-11-15T10:48:07Z |
| format | Article |
| id | upm-56392 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:48:07Z |
| publishDate | 2015 |
| publisher | International Institute for Science, Technology & Education |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-563922017-07-31T09:16:22Z http://psasir.upm.edu.my/id/eprint/56392/ Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? Ali, Hamisu Sadi Mukhtar, Umar Tijani, Bulama Abiso Auwal, Abdullahi Muhammad We estimated the relationship between the exchange rates and crude oil prices for the period of 1960 to 2013. Based on Engle-Granger we found that the variables are cointegrated means there exist long-run relationship. However, when we move on to TAR and MTAR models the findings are opposite as there is no element of cointegration and the speed of adjustment is symmetric. This shows that based on TAR and MTAR models the effects of exchange rates on crude oil prices is insignificant. The policy relevance is that South African authority need to monitor its exchange rates persistently related to other currencies more especially American dollar because it determined the crude oil prices that might have greater influences on other macroeconomic variables. International Institute for Science, Technology & Education 2015 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/56392/1/Dynamic%20relationship%20of%20exchange%20rates%20and%20crude%20oil%20prices%20in%20South%20Africa%20are%20there%20asymmetries.pdf Ali, Hamisu Sadi and Mukhtar, Umar and Tijani, Bulama Abiso and Auwal, Abdullahi Muhammad (2015) Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? Research Journal of Finance and Accounting, 6 (6). pp. 195-200. ISSN 2222-1697; ESSN: 2222-2847 http://www.iiste.org/Journals/index.php/RJFA/article/view/21175 |
| spellingShingle | Ali, Hamisu Sadi Mukhtar, Umar Tijani, Bulama Abiso Auwal, Abdullahi Muhammad Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? |
| title | Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? |
| title_full | Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? |
| title_fullStr | Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? |
| title_full_unstemmed | Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? |
| title_short | Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? |
| title_sort | dynamic relationship of exchange rates and crude oil prices in south africa: are there asymmetries? |
| url | http://psasir.upm.edu.my/id/eprint/56392/ http://psasir.upm.edu.my/id/eprint/56392/ http://psasir.upm.edu.my/id/eprint/56392/1/Dynamic%20relationship%20of%20exchange%20rates%20and%20crude%20oil%20prices%20in%20South%20Africa%20are%20there%20asymmetries.pdf |