Global exchange rate configurations: Do oil shocks matter?

Arbeitspapier

Do oil shocks matter for exchange rates? This paper addresses this question based on data on real and nominal exchange rates as well as an exchange market pressure index for 44 advanced and emerging countries. We identify three structural shocks (oil supply, global demand, and oil specific demand) which raise the real oil price and analyse their effect on individual exchange rates. Contrary to the predictions of the theoretical literature, we find no evidence that exchange rates of oil exporters systematically appreciate against those of oil importers after shocks raising the real oil price. However, oil exporters experience significant appreciation pressures following an oil demand shock, which they tend to counter by accumulating foreign exchange reserves. Results for general commodity exporters are similar, showing minor differences compared with oil exporters.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1442

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Energy and the Macroeconomy
• Subject: exchange market pressure ; exchange rate ; global imbalances ; Oil ; Structural VAR

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Buetzer, Sascha ; Habib, Maurizio Michael ; Stracca, Livio
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/153875
• Last update: 10.03.2025, 11:45 AM CET