Kumeka Terver Theophilus, Uzoma-Nwosu Damian Chidozie, David-Wayas Maria Onyinye
Department of Economics, Faculty of Economics and Management Sciences, University of Ibadan, Ibadan, Nigeria.
Department of Economics, Dominican University, Ibadan, Nigeria.
Resour Policy. 2022 Aug;77:102744. doi: 10.1016/j.resourpol.2022.102744. Epub 2022 May 12.
This paper re-examines the performances of stock prices, oil prices and exchange rates in twelve oil exporting countries amidst the ravaging consequences of the ongoing worldwide coronavirus pandemic. Consequently, the study adopted a panel Vector Autoregressive (pVAR) model which applied data from the pre- and post-COVID-19 periods. Contrary to the pre-COVID-19 pandemic period, the pVAR Granger causality test indicates that the stock market can as well affect the exchange rate market, though positively. Furthermore, the Impulse response functions (IRFs) shows that a shock to crude oil prices provokes a negative response by exchange rates in the post-COVID-19 pandemic era only. The Forecast Error Variance Decomposition (FEVD) estimates that such innovations to crude oil prices account for the varying fluctuations in exchange rates and stock returns at different periods, but is neither influenced by the stock market activities nor the exchange rate market in the post-COVID-19 pandemic era. This suggests that before COVID-19, the different markets in the selected oil producing economies were only affected by their market fundamentals and dynamics only, but this changed with the plummeting oil prices in the COVID-19 pandemic era. The development of vaccines and the immediate vaccination of the world people will ease the lockdowns and increase the demand for crude oil by the high oil importing countries. With the improved earnings from this, and the associated appreciation of the local currencies against the US dollars, the capital market activities of these net oil exporting countries improve. Policy makers and investors should consider the dynamics in the oil market while making decisions.
本文重新审视了在当前全球冠状病毒大流行的破坏性后果下，十二个石油出口国的股票价格、石油价格和汇率表现。因此，该研究采用了面板向量自回归（pVAR）模型，该模型应用了新冠疫情前后时期的数据。与新冠疫情前的时期相反，pVAR格兰杰因果检验表明，股票市场也会对汇率市场产生影响，尽管是正向影响。此外，脉冲响应函数（IRF）表明，只有在新冠疫情后时代，原油价格冲击才会引发汇率的负面反应。预测误差方差分解（FEVD）估计，原油价格的此类创新在不同时期解释了汇率和股票回报的不同波动，但在新冠疫情后时代不受股票市场活动或汇率市场的影响。这表明，在新冠疫情之前，所选石油生产经济体的不同市场仅受其市场基本面和动态的影响，但在新冠疫情时代，随着油价暴跌，情况发生了变化。疫苗的研发和全球人民的立即接种将缓解封锁，并增加高石油进口国对原油的需求。由此带来的收益改善以及当地货币对美元的相应升值，将改善这些石油净出口国的资本市场活动。政策制定者和投资者在做决策时应考虑石油市场的动态。
