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Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries

机译：汇率管理是否会影响汇率与油价之间的因果关系？石油出口国的证据

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摘要

The bi-directional causality between exchange rates and oil prices of oil-exporting countries has been widely investigated since the oil crisis in the 1970s. The classical theoretical framework assumes that countries adopt free-floating exchange rate arrangements, and empirical studies seldom consider exchange rate restrictions when investigating oil exporters that always manage exchange rates. To address these limitations, this study designs a comparative analysis for three groups of oil-exporting economies that adopt different foreign exchange rate policies. The analysis aims to examine whether and how intervention behavior may distort the causal relationship between exchange rates and oil prices. We first show the non-linear causality relationships for countries with "free-floating exchange rate arrangements" in both long and short terms. Then, we establish how the managed floating policy can eliminate the impact of oil prices on exchange rates in bull markets but fail to prevent exchange rate depreciation in bear markets. In bear markets, a negative non-linear feedback from exchange rates to oil prices prevails in these countries. However, contrary to common wisdom, the strict "soft-pegged exchange rate arrangement" cannot remove all the linkages between exchange rates and oil prices. A small but significant response of exchange rates toward oil prices is detected for Kuwait and Saudi Arabia. A similar effect for Kazakhstan is only found in bear markets. In addition, this study re-investigates the relationship between exchange rate and the domestic currency price of oil. The conclusions are similar, except that the relationship is weakened in free-floating countries but strengthened in managed floating countries during the bear market periods. (C) 2018 Elsevier B.V. All rights reserved.
机译：自1970年代石油危机以来，石油出口国的汇率与石油价格之间的双向因果关系已得到广泛研究。古典理论框架假设各国采用自由浮动汇率安排，而经验研究在调查始终管理汇率的石油出口国时很少考虑汇率限制。为了解决这些局限性，本研究针对采用不同汇率政策的三组石油出口经济体进行了比较分析。该分析旨在检查干预行为是否以及如何扭曲汇率与油价之间的因果关系。我们首先显示长期和短期内具有“自由浮动汇率安排”的国家之间的非线性因果关系。然后，我们确定有管理的浮动政策如何消除油价对牛市汇率的影响，但不能防止熊市汇率贬值。在熊市中，这些国家普遍存在汇率对石油价格的非线性负反馈。但是，与常识相反，严格的“软钉住汇率制度”不能消除汇率和石油价格之间的所有联系。在科威特和沙特阿拉伯，发现汇率对石油价格的反应很小但很重要。对哈萨克斯坦的类似影响仅在熊市中发现。此外，本研究重新研究了汇率与石油本币价格之间的关系。结论相似，只是在熊市时期这种关系在自由浮动国家中减弱了，而在有管理的浮动国家中增强了。 （C）2018 Elsevier B.V.保留所有权利。

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  • 来源
    《Energy economics》 |2018年第10期|325-343|共19页
  • 作者

    Lv Xin; Lien Donald; Chen Qian; Yu Chang;

  • 作者单位

    Cent Univ Finance & Econ, Sch Publ Finance & Publ Policy, Beijing, Peoples R China;

    Sustainable Dev Res Inst Econ & Soc Beijing, Beijing 100081, Peoples R China;

    Beijing Inst Technol, Ctr Energy & Environm Policy Res, Beijing 100081, Peoples R China;

    Beijing Inst Technol, Sch Management & Econ, Beijing 100081, Peoples R China;

    Univ Texas San Antonio, Coll Business, One Univ Circle, San Antonio, TX 78249 USA;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Crude oil price; Exchange rate; MS-VAR model;

    机译：原油价格汇率MS-VAR模型;

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