Spillover effect on currency exchange rates in oil exporting countries

The study will be based on the hypothesis that the main sources of shocks for the oil market are political and pandemic-related risks. The research paper implements the VAR model to find the mean spillover between Brent oil prices and national currencies volatilities for the period from 2001 until 2021. The paper adds to the growing literature on the effects of COVID-19 on the spillover effect on currency exchange rates in oil exporting countries. Recent studies have shown how the spillover effect has changed in oil exporting countries. All three of the recent shocks (2008, 2012, 2020) in the oil market are transmitted to the currency markets of oil-producing countries. At the same time, the last shock of 2020 caused by the COVID-19 pandemic has not yet been fully reflected on the Russian ruble exchange rate. The main reason for this is the factor of decreasing sanctions pressure and the low level of external public debt in Russia. Correlation parameters became weaker in the last year, as the RURUSD correlation coefficient is fluctuating between -0.5 and 0.5. However, before 2020 the spillover effect is more significant (in the range from -0.8 to -0.1). Nigerian Naira and Algerian Dinar were showing almost the same movements, while the Russian Ruble was in a different trading range.

本研究基于如下核心假设：石油市场冲击的主要来源为政治风险与疫情相关风险。本论文采用向量自回归（Vector Autoregression, VAR）模型，对2001年至2021年期间布伦特原油价格与各国货币波动率之间的均值溢出效应展开探究。本研究为日益壮大的新冠疫情对石油出口国汇率溢出效应影响的研究文献体系贡献了新的学术成果。近期已有研究揭示了石油出口国的溢出效应发生了相应变化。2008年、2012年、2020年这三次近期石油市场冲击均传导至石油生产国的货币市场。与此同时，2020年由新冠疫情引发的本轮冲击尚未完全体现在俄罗斯卢布汇率之上，究其核心原因，在于俄罗斯的制裁压力有所缓解，且该国公共外债规模处于较低水平。近一年来相关参数有所弱化，卢布兑美元汇率（RURUSD）的相关系数波动区间为-0.5至0.5。而在2020年之前，溢出效应更为显著，相关系数区间处于-0.8至-0.1之间。尼日利亚奈拉与阿尔及利亚第纳尔的走势几乎一致，而俄罗斯卢布则处于截然不同的交易区间。