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Oil-price shocks and the macro-economy: Does the exchange rate regime matter?


Al-Abri, Almukhtar (2007) Oil-price shocks and the macro-economy: Does the exchange rate regime matter? In: International Economic Conference on Trade and Industry (IECTI) 2007, 3 - 5 December 2007, Bayview Hotel Georgetown, Penang. (Unpublished)

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Abstract

Using a panel Vector Auto-Regression (panel VAR) of nine of the OECD’s major oil-importing countries and Reinhart and Rogoff’s de facto classification of exchange rate regimes, we find support for the hypothesis that flexible exchange regimes better absorb oil-price shocks. The price level, output, and the real exchange rate exhibit smoother adjustment to their long-run equilibrium when the de facto exchange rate regime was flexible. We also document feedback from the real effective exchange rate and inflation rate to the domestic-currency real oil price shock, supporting the growing notion that oil price shocks are not purely exogenous to developed economies.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Organized by Faculty of Economics, Universiti Utara Malaysia
Uncontrolled Keywords: oil price shocks; exchange rate regimes; panel VAR; OECD oil importers; macroeconomic adjustment
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: College of Arts and Sciences
Depositing User: Mrs. Juwita Johari
Date Deposited: 14 Feb 2011 07:11
Last Modified: 14 Feb 2011 08:21
URI: http://repo.uum.edu.my/id/eprint/2350

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