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Recent studies on the relationship between exchange rates, oil prices, and economic growth in developing countries like Ghana have used linear methods, but do not account for potential asymmetries. This research investigates the intricate asymmetric effects of exchange rates, financial development, and oil prices on Ghana’s growth from 1990–2017 using a nonlinear model. The findings indicate that global oil price has asymmetric effects on short- and long-term growth, with positive price changes having different impacts than negative changes. However, there is no evidence for asymmetric long-term effects of exchange rates and financial development on growth, only short-term asymmetries. The cumulative effects of exchange rates and financial development outweigh oil prices. Recommendations include modernizing fuel efficiency, investing in renewable energy and public transit to address oil price shocks, and increasing market transparency and collaboration between major consumer and producer countries. The nonlinear model provides an evidence-based analysis of the intricate asymmetric relationships between these factors and developing country growth.

Although oil prices likely influence the trade balance via macroeconomy channels (i.e. exchange rates and income), less widely recognized is the possibility of such an effect in investigating the hypothesis of a J-Curve. Thus, the primary thrust of this paper is to investigate the effect of oil prices on the J-Curve using bilateral trade data between Korea and her 14 largest partners. We uncover that the price of crude oil is indeed important in affecting the Korean trade balance and thus further validity evidence of the J-Curve. We further discover that incorporating exchange rate asymmetry provides more evidence supporting the J-Curve in the Korean trade balance.

Motivated by the theoretical link between real exchange rates and oil prices, we utilize a univariate moving average (MA) and an augmented MA (A-MA) model to generate multi-period forecasts of China’s real effective exchange rate for 2008–2018. The MA model utilizes past information in real exchange rates, and the A-MA model utilizes past information in both real exchange rates and oil prices. We show that the A-MA forecasts are unbiased and embody useful predictive information beyond that contained in the MA forecasts. In addition, the A-MA forecasts are directionally accurate under asymmetric loss. Such accurate forecasts are useful as inputs for policymakers to design an optimal real exchange rate policy to promote trade and attract foreign investment, and for foreign entities that regard China as an attractive environment for investing in various sectors.

In this paper, we develop a stochastic model for future monthly spot prices of the most important crude oils and refined products. The model is easy to calibrate to both historical data and views of a user even in the presence of negative prices which have been observed recently. This makes it particularly useful for risk management and design of optimal hedging strategies in incomplete market situations where perfect hedging may be impossible or prohibitively expensive to implement. We illustrate the model with optimization of hedging strategies for refinery margins in illiquid markets using a portfolio of 12 most liquid derivative contracts with 12 maturities traded on New York Mercantile Exchange (NYMEX) and Intercontinental Exchange (ICE).

The main objective of this paper is to test for the possibility of an optimal currency area (OCA) in the six Gulf countries (namely: Saudi Arabia, Bahrain, Qatar, Kuwait, Oman, and United Arab Emirates (UAE)). To constitute such an OCA, however, they must satisfy certain preconditions; i.e., they must have similar economic structures with exposure to symmetric shocks, they must be open, well-diversified economies, and they must also ensure a high degree of factor mobility. The objective of this paper is to assess the degree to which the Gulf Cooperation Council (GCC) meet the requirements of an OCA. Annual and quarterly data are used in our analysis. Using a multivariate threshold autoregression (MVTAR) model and generalized response functions, the main results are that the GCC countries should be divided, as far as the symmetry of the shocks is concerned, into two sub-groups. The first consists of UAE, Oman, and Bahrain and the second consists of Saudi Arabia, Qatar, and Kuwait. Thus, the main implication is that the GCC countries are still far away from an OCA. The success of such a union is conditional on a lot of measures including the removal of domestic and cross-border distortions that are regarded as a hamper to trade and foreign investments, the coordination of national policies that ensure macroeconomic stability, the deepening of regional integration, the development of the nonoil economy, and realization of a large degree of political integration.

This paper uses a pairwise approach to investigate the main factors that have been driving inflation differentials in the Gulf Cooperation Council (GCC) region for the past two decades. The results suggest that inflation differentials in the GCC are largely influenced by the oil cycle, mainly through the credit and fiscal channels. This implies that in order for the proposed monetary union to be successful, closer coordination of fiscal policies will be critical. The results also indicate that after controlling for cyclical factors, convergence increased even during the recent oil boom.

The relationship between crude oil and precious metals has been a major issue in economic and financial literature. In this paper, the FIEGARCH-copula framework was used to investigate the co-movements not only between returns, but also between volatilities and market risks among crude oil and precious metals markets. Based on daily crude oil and the major precious metals prices from January 2, 2000 to December 31, 2016, our empirical results are as follows: First, a significant positive and asymmetric relationship between oil and precious metals returns, volatilities and market risk was detected. Second, the dependence structure between oil-silver and oil-gold for returns and volatilities are time varying, while the other pairs are characterized by constant dependence. Third, based on the dependence modeling between daily Value-at-Risk (VaR) for the long and short trading position, empirical results show that the market risk relationship between crude oil and precious metals change over time and increase with VaR’s confidence level. Our findings are of interest for investors and risk managers in portfolio’s design and allow for a reliable framework for returns and risk prediction.

This study investigates the dynamic relationship between exchange rates, oil prices, and stock prices in the Indian market, considering bearish, bullish, and neutral market states. By utilizing the Quantile ARDL method, we explore long- and short-run relationships in differing market states. The variations in sensitivities of oil prices and exchange rates with stock prices across diverse quantiles reflect significant variations in the Indian equity markets. Importantly, our study provides actionable insights for policymakers and stakeholders within India, empowering them with specific strategies for managing currency, stock prices, and oil prices under diverse market states. These insights are not just theoretical but directly applicable to real-world economic and financial decision-making, enhancing the ability of policymakers and stakeholders to navigate the complex Indian market.

Based on a sample during 1978–2014, this paper finds that India’s real GDP has a positive relationship with real depreciation during 1978–2002, the government debt/GDP ratio, the real stock price, the growth rate of U.S. real GDP, and a negative relationship with real depreciation during 2003–2014, the real lending rate and the expected inflation rate. Therefore, the stage of economic development may play an important role in deciding whether real depreciation or real appreciation may promote economic growth.

We examine the effect of European Central Bank’s (ECB’s) unconventional monetary policy measures on energy prices. Our results indicate that the non-standard ECB monetary policies during the recent financial crises had a significant and negative impact on energy prices. For example, we find that these policies accounted for approximately 10% of the price variance for the Light Crude Oil Futures Contract. Impulse Response Functions suggest that an increase in the ECB’s propensity to unconventional policy decreases energy prices for all five energy price proxies during the first two months after the monetary shock. Since these policies have now become part of a central bank’s arsenal during financial turmoil and may be used in future crises, these results shed light on their potential impact energy prices.