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The Impact Of World Oil Price Shocks On The Canada Us Real Exchange Rate
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Book Synopsis The Impact of World Oil Price Shocks on the Canada/U.S. Real Exchange Rate by : Jing Zhao
Download or read book The Impact of World Oil Price Shocks on the Canada/U.S. Real Exchange Rate written by Jing Zhao and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates whether and how changes in the world oil price affect the Canada/U.S. real exchange rate. We applied vector autoregression and vector error correction models for the real exchange rate, world oil price, monetary differential, government spending, and productivity differential between the two countries. Our results demonstrate that a surge in the world oil price will lead to an appreciation of the Canadian dollar in the short and long term. Product differentials and U.S. government spending have a negative impact on the Canada/U.S. real exchange rate, and Canadian government spending leads to a depreciation of the Canadian dollar.
Book Synopsis Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate by : Robert A. Amano
Download or read book Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate written by Robert A. Amano and published by . This book was released on 1993 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Dimensions of Monetary Policy by : Jordi Galí
Download or read book International Dimensions of Monetary Policy written by Jordi Galí and published by University of Chicago Press. This book was released on 2010-03-15 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: United States monetary policy has traditionally been modeled under the assumption that the domestic economy is immune to international factors and exogenous shocks. Such an assumption is increasingly unrealistic in the age of integrated capital markets, tightened links between national economies, and reduced trading costs. International Dimensions of Monetary Policy brings together fresh research to address the repercussions of the continuing evolution toward globalization for the conduct of monetary policy. In this comprehensive book, the authors examine the real and potential effects of increased openness and exposure to international economic dynamics from a variety of perspectives. Their findings reveal that central banks continue to influence decisively domestic economic outcomes—even inflation—suggesting that international factors may have a limited role in national performance. International Dimensions of Monetary Policy will lead the way in analyzing monetary policy measures in complex economies.
Book Synopsis Supply Shocks and Real Exchange Rate Dynamics by : Céline Gauthier
Download or read book Supply Shocks and Real Exchange Rate Dynamics written by Céline Gauthier and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals. The identification scheme we use to recover the different shocks is based on long-run restrictions and allows us to decompose the real exchange rate according to different long-run trends, basically defined in terms of permanent shocks. Two main results emerge from our analysis. First, a positive supply shock in favour of Canada leads to a real exchange rate appreciation. Although consistent with the Balassa-Samuelson hypothesis, this result contradicts previous findings that have used a similar methodology. Second, commodity price shocks tend to dominate exchange rate movements over the short and medium run, but supply shocks have the largest impact over the long run. In particular, supply shocks explain most of the stochastic depreciation of the Canadian real exchange rate since the beginning of the 1990s.
Book Synopsis Error Correction Model Estimation of the Canada-US Real Exchange Rate by :
Download or read book Error Correction Model Estimation of the Canada-US Real Exchange Rate written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the error correction model, we link the long-run behavior of the Canada-US real exchange rate to its short-run dynamics. The equilibrium real exchange rate is determined by the energy and non-energy commodity prices over the period 1973Q1-1992Q1. However such a single long-run relationship does not hold when the sample period is extended to 2004Q4. This breakdown can be explained by the break point which we find at 1993Q3. At the break point, the effect of the energy price shocks on Canadas real exchange rate turns from negative to positive while the effect of the non-energy commodity price shocks is constantly positive. We find that after one year 40.03% of the gap between the actual and equilibrium real exchange rate is closed. The Canada-US interest rate differential affects the real exchange rate temporarily. The Canadas real exchange rate depreciates immediately after a decrease in Canadas interest rate and appreciates next quarter but not by as much as it has depreciated.
Book Synopsis Terms of Trade and Real Exchange Rates by : Robert A. Amano
Download or read book Terms of Trade and Real Exchange Rates written by Robert A. Amano and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Crude Shock by : Francesco Grigoli
Download or read book A Crude Shock written by Francesco Grigoli and published by International Monetary Fund. This book was released on 2017-07-18 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The decline in oil prices in 2014-16 was one of the sharpest in history, and put to test the resilience of oil exporters. We examine the degree to which economic fundamentals entering the oil price decline explain the impact on economic growth across oil exporting economies, and derive policy implications as to what factors help to mitigate the negative effects. We find that pre-existing fundamentals account for about half of the cross-country variation in the impact of the shock. Oil exporters that weathered the shock better tended to have a stronger fiscal position, higher foreign currency liquidity buffers, a more diversified export base, a history of price stability, and a more flexible exchange rate regime. Within this group of countries, the impact of the shock is not found to be related to the size of oil exports, or the share of oil in fiscal revenue or economic activity.
Book Synopsis Exchange Rates of Oil Exporting Countries and Global Oil Price Shocks by : Alfred A. Haug
Download or read book Exchange Rates of Oil Exporting Countries and Global Oil Price Shocks written by Alfred A. Haug and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers logistic (asymmetric) and exponential (symmetric) smooth transition adjustments of real and nominal exchange rates for six major oil-exporting countries in response to different shocks affecting oil prices. Real exchange rate movements affect the terms of trade and hence may affect relative competitiveness. We detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to oil supply shocks, idiosyncratic oil-market-specific shocks, and speculative (crude oil inventory) oil-market shocks. On the other hand, global aggregate demand shocks, which are shocks that do not directly originate in the oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and linear effects for the UK. These qualitative results mostly hold for nominal exchange rate returns as well. Exceptions are that linear effects are found for aggregate demand shocks for Brazil and for idiosyncratic shocks for Norway, whereas the aggregate demand shocks for the UK have nonlinear and asymmetric effects instead of linear ones.
Book Synopsis The Role of Oil Price Shocks on China's Real Exchange Rate by : Ying Sophie Huang
Download or read book The Role of Oil Price Shocks on China's Real Exchange Rate written by Ying Sophie Huang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates to what extent the oil price shock and three other types of underlying macroeconomic shocks impact the trend movements of China's real exchange rate. By constructing a four-dimensional structural VAR model, the results suggest that real oil price shocks would lead to a minor appreciation of the long-term real exchange rate due to China's lesser dependence on imported oil than its trading partners included in the RMB basket peg regime, and rigorous government energy regulations. The real shocks, as opposed to nominal shocks, are found to be dominant in the variations of the real exchange rate.
Book Synopsis The Distributional Implications of the Impact of Fuel Price Increases on Inflation by : Mr. Kangni R Kpodar
Download or read book The Distributional Implications of the Impact of Fuel Price Increases on Inflation written by Mr. Kangni R Kpodar and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Book Synopsis Global Implications of Lower Oil Prices by : Mr.Aasim M. Husain
Download or read book Global Implications of Lower Oil Prices written by Mr.Aasim M. Husain and published by International Monetary Fund. This book was released on 2015-07-14 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.
Book Synopsis Oil Price Shocks and Exchange Rate Movements by : Nikanor Volkov
Download or read book Oil Price Shocks and Exchange Rate Movements written by Nikanor Volkov and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the effects of oil price shocks on exchange rate movements in five major oil-exporting countries: Russia, Brazil, Mexico, Canada, and Norway. The R2 for the model doubles in Russia and Brazil, but increases slightly in Canada and Norway when oil prices are added to it. The volatility of exchange rates associated with oil price shocks is significant in Russia, Brazil, and Mexico, but weak in Norway and Canada. It takes much longer for the exchange rate to reach the initial equilibrium level in Russia, Brazil, and Mexico than in Norway and Canada. The asymmetric behavior of exchange rate volatility among countries seems to be related to the efficiency of financial markets rather than to the importance of oil revenues.
Book Synopsis The Effect of Oil Price Shocks on Asset Markets by : Ron Alquist
Download or read book The Effect of Oil Price Shocks on Asset Markets written by Ron Alquist and published by . This book was released on 2020 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a depreciation of the U.S. dollar against a broad range of currencies but have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the time-varying effect of oil price shocks on U.S. equity returns"--Abstract, page ii.
Book Synopsis Real Exchange Rate Fluctuations and the Dynamics of Retail Trade Industries on the U.S.-Canada Border by : Jeffrey R. Campbell
Download or read book Real Exchange Rate Fluctuations and the Dynamics of Retail Trade Industries on the U.S.-Canada Border written by Jeffrey R. Campbell and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consumers living near the U.S.-Canada border can shift their expenditures between the two countries, so real exchange rate fluctuations can act as demand shocks to border areas' retail trade industries. Using annual county-level data, we estimate the effects of real exchange rates on the number of establishments and their average payroll in border counties for four retail industries. In three of the four industries we consider, the number of operating establishments responds either contemporaneously or with a lag of one year to real exchange rate movements. For these industries, the response of retailers' average size is less pronounced. The rapid response of net entry is inconsistent with any model of persistent deviations from purchasing power parity that depends on retailers' costs of changing nominal prices.
Book Synopsis Exchange Rates and Oil Prices by : Robert A. Amano
Download or read book Exchange Rates and Oil Prices written by Robert A. Amano and published by . This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Document de Travail written by and published by . This book was released on 2003 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Effects of Oil Price Shocks on Exchange Rates and the Economy of Saudi Arabia by : Moayad Hussain Al Rasasi
Download or read book Essays on the Effects of Oil Price Shocks on Exchange Rates and the Economy of Saudi Arabia written by Moayad Hussain Al Rasasi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays examining the consequences of oil price shocks on exchange rates and the economy of Saudi Arabia. In the first essay, we examine the impact of oil prices on the US dollar (USD) exchange rate in the flexible monetary model framework. We find evidence, based on the impulse response function analysis from the VEC model, suggesting the negative association between oil prices and the USD against 12 currencies. Furthermore, the results from out-of-sample forecasts indicate that oil prices play an essential role in improving the forecasting power of the monetary model of exchange rate determination. In the second essay, we analyze how G7 real exchange rates and monetary policy respond to oil supply, aggregate demand, and oil-specific demand shocks initiated by Killian (2009). Our evidence confirms that aggregate demand and oil specific demand shocks are associated with the depreciation of the real exchange rate for five countries whereas oil supply shocks lead to the depreciation of real exchange rate in four countries. Likewise, we find the monetary policy responds significantly only to aggregate demand and oil specific demand shocks in three countries while the monetary policy responds to real exchange rate shocks in four countries. In the third essay, we investigate the differential effects of oil shocks, developed by Killian (2009), on industrial production, inflation, and the nominal exchange rate of Saudi Arabia. The reported evidence shows that industrial production responds positively only to oil supply shocks. Likewise, we find evidence indicating that there is a positive impact of aggregate demand shocks on inflation. On the other hand, we find evidence suggesting that oil supply and demand shocks are associated with the nominal exchange rate depreciation.
