Oil price shocks and macroeconomic responses: does the exchange rate regime matter?

Almukhtar S. Al-Abri

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Oil price shocks and macroeconomic responses: does the exchange rate regime matter?

机译：石油价格冲击和宏观经济对策：汇率制度重要吗？

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The sharp fluctuations in oil prices in recent years provide an opportunity to empirically test Friedman's hypothesis that flexible exchange regimes better absorb real external shocks. This paper empirically examines whether the responses of real output, consumer prices, interest rates and real exchange rates differ across exchange rate regimes. Since the effects of oil price shocks depend on whether the economy is a net importer or a net exporter of oil, the sample used in this study is composed of nine Organisation for Economic Cooperation and Development major oil-importing countries. The results show that only consumer prices and real exchange rates exhibit relatively faster and smoother adjustment to their long-run equilibrium when the adopted de facto exchange rate regime is flexible, supporting Friedman's hypothesis. Also, panel Granger causality tests suggest a feedback from real effective exchange rates and inflation rates to the real oil price, supporting the argument that oil price shocks are not purely exogenous to developed economies.

机译：近年来，石油价格的急剧波动为以经验检验弗里德曼的假设提供了机会，弗里德曼的假设是灵活的汇率制度可以更好地吸收实际的外部冲击。本文通过实证检验了实际汇率，消费价格，利率和实际汇率在不同汇率制度下的反应是否不同。由于石油价格冲击的影响取决于经济是石油的净进口国还是净出口国，因此本研究中使用的样本由九个经济合作与发展组织（OECD）的主要石油进口国组成。结果表明，在采用实际汇率制度灵活的前提下，只有消费者价格和实际汇率对其长期均衡具有相对更快，更平滑的调整，从而支持弗里德曼的假设。此外，Granger因果关系检验小组还提出了实际有效汇率和通货膨胀率对实际石油价格的反馈，支持了以下观点：石油价格冲击并非纯粹是发达经济体的外生因素。

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《OPEC energy review》 |2013年第1期|1-19|共19页
作者
Almukhtar S. Al-Abri;
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Department of Economics and Finance, Sultan Qaboos University;

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7. Exchange Rate Pass-Through in Transition Economies: The Case of the Republic of Macedonia Abstract: This paper investigates the relative costs and benefits associated with introducing a different exchange rate regime in the Republic of Macedonia. In this finding, all econometrics results, using different methodologies (SVAR and VECM), show that introducing a different strategy of the exchange rate targeting in order to promote rapid economic growth could easy disturb macroeconomic stability (after having achieved it at a substantial cost) without any significant economic benefits. In the long term, the coefficient of exchange rate reveals that a one percent change in the exchange rate will generate an increase in the prices level of 0.52 percent, indicating that 52 percent of changes in the exchange rate feed into the prices level. The investigation suggests that introducing a different strategy of the exchange rate regime is likely to incur more costs than benefits. [O] . Besnik Fetai 100

机译：转型经济体的汇率传递：马其顿共和国案例摘要：本文研究了在马其顿共和国引入不同汇率制度所带来的相对成本和收益。在这一发现中，使用不同方法（sVaR和VECm）的所有计量经济学结果表明，引入不同的汇率目标战略以促进经济的快速增长可能容易扰乱宏观经济稳定性（在以相当大的成本实现后）没有任何重大的经济利益。从长期来看，汇率系数表明，汇率的百分之一变化将使价格水平上升0.52％，表明汇率变化的52％会进入价格水平。调查表明，引入不同的汇率制度策略可能会带来更多的成本而不是收益。

Oil price shocks and macroeconomic responses: does the exchange rate regime matter?

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