WP03/2012
Jel Classification
C32, F15, F31, O55
N° Pages
40
Investigating the oil price exchange rate nexus: evidence from Africa
Abstract

In this paper we aim to provide further insides into the importance of real oil
price as a determinant of real exchange rates for a pool of African countries.
While this relationship has been explored substantially for many industrialised
economies, African countries have received little attention. By means of
cointegration techniques and nonlinear dynamics we find that, for some of
these countries, shocks in the real price of oil are particularly important in
determining the real exchange rates, even in the long run. These results would
be of interest for policymakers in order to deal more effectively with exchange
rate policy decisions, aiming at promoting economic growth in the area.

Keywords
Oil prices, real exchange rates, cointegration, nonlinearities