نگاهی بر تعامل بین قیمت نامعلوم نفت و نوسانات نرخ ارز: مورد کاوی از اقتصاد باز کوچک

The objective of this paper is to study the impact of the variability of oil prices on the real exchange rate for a small oil-importing economy (Morocco) and a small oil-exporting country (Tunisia) to compare the effect of fluctuations in oil prices on the volatility of exchange rate depending on the nature of the country. We used GARCH specifications taking into account several effects (symmetrical, asymmetrical, linear, nonlinear, threshold, power, level shift and jump intensity) in order to evaluate the empirical relationship between these variables and identify which of these effects is the most powerful. Our results reveal that whether for importing or exporting-oil economy, the real price of oil is negatively and significantly related to the variability of real exchange rate, which is remarkable across all estimates and all the effects considered. By introducing a dummy variable representing the two oil crises and the Asian crisis, the relationship between oil prices and the exchange rate has become more volatile and more persistent for the importing country and less intense for the exporting country, which means that the interaction oil price-exchange rate volatility depends greatly on switching regime.

During the period 1971-2009, the crude of oil has fluctuated widely. The demand and supply are the cause of these price increases. These high prices of petroleum products may lead to harmful consequences of such economy especially in the developing countries. Several studies have been developed using different specifications involving interaction of oil prices to the exchange rate. Narayan and al. (2008), Ghosh (2010), Zahid, Khouhy and Suleiman (2011) and Mansor H-I. (2011) examined the impact of real oil prices on the real exchange rate of oil exporting countries. They found a negative relationship between fluctuations in oil prices and the movements of their national currencies vis- à-vis the U.S. dollar. They built a new indicator replaces the simple change of oil prices in accordance with fluctuations in the exchange rate used the variance between the yield variation in crude prices and that of the real exchange rate. We standardized the unanticipated ch anges in real prices for the conditional variance of real exchange rate movements following a GARCH process (Generalized Auto regressive Conditional Heteroskedasticity). This indicator serves to emph asize the role of oil price volatility in determining the volatility of real exchange rate. From the literature covered this subject, it is clear that most of the work have been made to the Canadian economy, Nigerian (Olomola P-A. And AdejumoA-V., 2006) and to our knowledge no empirical study has treated the case of Mo rocco or Tunisia. An important element to highlight is that the effect of an oil shock depends on the nature of the country and depends on whether the country is an exporter or importer of oil. Our goal is to contribute to the literature on cases of small oil importing and small oil exporting countries by examining the effects of symmetry, asymmetry, linearity, nonlinearity, threshold, power, level shift and jump intensity in the link between oil prices and exchange rate for Morocco and Tunisia. The results of this analysis could help policy makers to respond to an innovation in oil prices.

This study reveals that: (i)The duration of persistence associated to the impact of oil prices on the real exchange rate is more important taking into account level shift and jump intensity for both countries; (ii) The intensity of the shock and the degree of asymmetry for Morocco and Tunisia are more important taking into account the asymmetric effect, especially for the E-GARCH model characterized by a conditional variance that increases rapidly when magnitude of disturbance is high which can lead to exaggerated responses of the conditional variance. In the same context, the intensity of the shocks which is either ne gative or positive is too important for the model with jump intensity; (iii) The ARCH and GARCH effects are more important for the interaction that takes into account the level shift and jump intensity; (iv)The price of oil impacts more the real exchange rate considering the effects of switching regime change and the impact of an innovation in oil prices on the exchange rate is more important considering the jump intensity effect (see graph 3)