The impact of oil price shock of 2014 on the exchange rate in Algeria : vector autoregressive model
Author
Source
Review of Finance and Markets Revue Finance et Marchés
Issue
Vol. 4, Issue 7 (31 Dec. 2017), pp.1-35, 35 p.
Publisher
Publication Date
2017-12-31
Country of Publication
Algeria
No. of Pages
35
Main Subjects
Abstract EN
The objective of this paper is to analyze the effects of oil price shock on exchange rate of the Algerian dinar versus US dollar through an empirical analysis using a VAR Model (Vector Autoregressive Model) based on monthly data from June 2012 to December 2016.
The findings showed that oil prices exert a significant effect on exchange rate.
A 1% decrease in oil price would lead to depreciate the Algerian Dinar of about 0.10% against US Dollar.
The Granger Causality Test results indicate that there is a unidirectional causality running from oil price to exchange rate.
This is consistent with the literatures that a decrease in oil price will depreciate the exchange rate.
In fact, low oil prices generally provokes a large depreciation of exchange rates in oil-exporting countries.
This evidence is clearly established in the Algerian case.
American Psychological Association (APA)
Tawati, Karimah. 2017. The impact of oil price shock of 2014 on the exchange rate in Algeria : vector autoregressive model. Review of Finance and Markets Revue Finance et Marchés،Vol. 4, no. 7, pp.1-35.
https://search.emarefa.net/detail/BIM-864244
Modern Language Association (MLA)
Tawati, Karimah. The impact of oil price shock of 2014 on the exchange rate in Algeria : vector autoregressive model. Review of Finance and Markets Revue Finance et Marchés Vol. 4, no. 7 (2017), pp.1-35.
https://search.emarefa.net/detail/BIM-864244
American Medical Association (AMA)
Tawati, Karimah. The impact of oil price shock of 2014 on the exchange rate in Algeria : vector autoregressive model. Review of Finance and Markets Revue Finance et Marchés. 2017. Vol. 4, no. 7, pp.1-35.
https://search.emarefa.net/detail/BIM-864244
Data Type
Journal Articles
Language
English
Record ID
BIM-864244