The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters
Abstract
:1. Introduction
2. Literature Review
3. Theoretical and Modeling Framework
3.1. Real Exchange Rate Equation
3.2. Movements of Oil Prices and REERs: Choosing the Period of Analysis
4. Data and Econometric Method
4.1. Data
4.2. Econometric Method
4.2.1. Unit Root Test
4.2.2. Autoregressive Distributed Lag Bounds Testing Approach
4.2.3. Small Sample Bias Correction in the ARDL Approach
5. Empirical Estimations and Discussion
5.1. Robustness Check
6. Concluding Remarks
Acknowledgment
Author Contributions
Conflicts of Interest
References
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1 | Equation (3) is a transformed version of the unit root test equation (random walk with drift), where is equal to + 1. is an auto-regressive coefficient. If it is unity (or close to unity), it means that a given series has a unit root. By way of contrast, if it is zero (or close to zero), it means that the process does not have a unit root process. |
2 | The test results can be obtained from the authors upon request. |
Study | Period | Country/Region | Methodology | Oil Price Coefficient | Productivity Coefficient |
---|---|---|---|---|---|
Kuralbayeva et al. (2001) | 1994M1–2000M4 | KZ | VECM | 0.23 | 0.36 |
De Broeck and Slok (2001) | 1993–1998 | Panel of countries including AZ, KZ and RU | PMG | −0.55 * (for the group where AZ, KZ and RU were included) | 0.57 (for the group where AZ, KZ and RU were included) |
Spatafora and Stavrev (2003) | 1995Q1–2002Q3 | RU | ECM | 0.31 | 1.3 |
Egert (2005) | 1991M1–2003M11 | Country group (RU included) | DOLS, ARDL. Panel DOLS, MGE | −0.18 to −0.06 (for panel) | −1.1 (for RU) |
Sosunov and Zamulin (2006) | 1998–2005 | RU | CGE | 0.25 | Not used |
Habib and Kalamova (2007) | 1995Q1–2006Q2 (for RU) 1980Q1–2006Q2 (for other countries) | RU, Norway and Saudi Arabia | VECM | 0.50 | 0.82 |
Oomes and Kalcheva (2007) | 1995M1–2005M12 | RU | VECM | 0.50 and 0.58 | 1.08 and 0.90 |
Egert and Leonard (2007) | 1996–2005 | KZ | OLS, DOLS, ARDL | Not reported | Not reported |
Jahan-Parvar and Mohammadi (2008) | 1970–2007 | 14 oil exporters, including RU | ARDL | 1.12 (for RU) | Not used |
Egert (2009) | 1999–2006 | CIS (including AZ, KZ and RU) | Panel | Not reported | Not used |
Benedictow et al. (2010) | 1995Q1–2008Q1 | RU | OLS | 0.19 | Not used |
Hasanov (2010) | 2000Q4–2007Q4 | AZ | ARDL | 0.75 | 2.00 |
Babayev (2010) | 1999–2009 | AZ | VAR | Not reported | Not reported |
Ito (2010) | 1994Q1–2009Q3 | RU | VECM | 0.17 | Not used |
Basher et al. (2012) | 1988M1–2008M12 | Group of countries, including KZ | SVAR | Not reported | Not reported |
Mironov and Petronevich (2015) | 2002M5–2013M4 | RU | VECM | 0.2 | Not reported |
Kose and Baimaganbetov (2015) | 2000M1–2013M12 | KZ | SVAR | Not reported | Not reported |
Bouoiyour et al. (2015) | 1995Q1–2009Q3 | RU | ARDL, Wavelet and FDA | Not reported | Not reported |
Kaplan and Aktash (2016) | 1995–2014 | Five countries (including RU) | CCEMG, CCEP | −0.16 | Not used |
Aleksandrova (2016) | 2012–2016 | Caucasus and Central Asia, including AZ and KZ | Descriptive analyses | Not reported | Not reported |
Blokhina et al. (2016) | 2000M1–2016M1 | RU | OLS | 0.1 | Not used |
Variable | At the Level | At the First Difference | ||||||
---|---|---|---|---|---|---|---|---|
ADF | ZA | ADF | ZA | |||||
k | Actual Value | k | Actual Value | k | Actual Value | k | Actual Value | |
roilp | 1 | −3.91 ** | 1 | −4.60 | 1 | −5.89 *** | 1 | −8.01 *** |
Panel A: Azerbaijan | ||||||||
reer_az | 0 | −2.08 | 0 | −3.67 | 0 | −6.77 *** | 0 | −7.33 *** |
prod_az | 0 | −2.34 | 0 | −3.89 | 0 | −5.88 *** | 2 | −8.31 *** |
Panel B: Kazakhstan | ||||||||
reer_kz | 0 | −3.37 * | 3 | −2.88 | 1 | −5.97 *** | 4 | −8.53 *** |
prod_kz | 1 | −4.40 *** | 1 | −4.81 | 1 | −6.25 *** | 2 | −7.90 *** |
Panel C: Russia | ||||||||
reer_ru | 0 | −2.62 | 0 | −1.81 | 1 | −6.45 *** | 1 | −6.55 *** |
prod_ru | 0 | −3.44 * | 0 | −1.66 | 0 | −6.89 *** | 2 | −7.24 *** |
Panel A: Azerbaijan | Panel B: Kazakhstan | Panel C: Russia | |||
---|---|---|---|---|---|
= 6.412 | = 13.804 | = 4.907 | |||
Lower and Upper Bound Critical Values in the Case of Two Lagged Level Regressors, Restricted Intercept and No Trend: | |||||
Narayan (2005) * | Pesaran et al. (2001) ** | ||||
At the 1% significance level: | 4.770 | 5.855 | 4.99 | 5.85 | |
At the 5% significance level: | 3.435 | 4.260 | 3.88 | 4.61 | |
At the 10% significance level: | 2.835 | 3.585 | 3.38 | 4.02 |
Azerbaijan | Kazakhstan | Russia | ||||
---|---|---|---|---|---|---|
Panel A: Estimated Long-Run Coefficients | ||||||
Variables | ARDL | DOLS | ARDL | DOLS | ARDL | DOLS |
roilp | 0.264 ** (0.099) | 0.262 *** (0.044) | 0.276 *** (0.083) | 0.285 *** (0.072) | 0.560 *** (0.103) | 0.570 *** (0.119) |
prod | 0.581 *** (0.121) | 0.512 *** (0.052) | 0.237 (0.200) | 0.390 ** (0.149) | 1.150 ** (0.452) | 0.962 * (0.532) |
Estimated Long-Run Coefficients with nfa variable | ||||||
roilp | 0.458 *** (0.122) | 0.417 *** (0.080) | 0.266 ** (0.098) | 0.657 *** (0.142) | 0.240 *** (0.063) | 0.193 *** (0.067) |
prod | 0.621 *** (0.114) | 0.577 *** (0.056) | 0.223 (0.206) | 1.073 *** (0.242) | 0.399 * (0.207) | 0.277 (0.247) |
nfa | −0.124 * (0.069) | −0.149 (0.091) | 0.004 (0.022) | −0.128 (1.261) | 0.103 *** (0.022) | 0.121 *** (0.018) |
ECT | −0.50 *** | −0.63 *** | −0.33 *** | |||
Panel B: Residuals Diagnostics Tests Results | ||||||
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Hasanov, F.; Mikayilov, J.; Bulut, C.; Suleymanov, E.; Aliyev, F. The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters. Economies 2017, 5, 13. https://doi.org/10.3390/economies5020013
Hasanov F, Mikayilov J, Bulut C, Suleymanov E, Aliyev F. The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters. Economies. 2017; 5(2):13. https://doi.org/10.3390/economies5020013
Chicago/Turabian StyleHasanov, Fakhri, Jeyhun Mikayilov, Cihan Bulut, Elchin Suleymanov, and Fuzuli Aliyev. 2017. "The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters" Economies 5, no. 2: 13. https://doi.org/10.3390/economies5020013
APA StyleHasanov, F., Mikayilov, J., Bulut, C., Suleymanov, E., & Aliyev, F. (2017). The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters. Economies, 5(2), 13. https://doi.org/10.3390/economies5020013