Data for: The impact of oil shocks on exchange rates: A Markov-switching approach

Abstract of associated article: This paper uses Markov-switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries. This is an important topic to study because an oil shock can affect a country's terms of trade which can affect its competitiveness. We detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks. We find limited evidence that oil supply shocks affect exchange rates. Global economic demand shocks affect exchange rates in both oil exporting and importing countries, though there is no systematic pattern of appreciating and depreciating real exchange rates. The results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates.关联论文摘要：本文采用马尔可夫区制转换模型（Markov-switching models），针对石油出口国与石油进口国的样本，探究石油冲击对实际汇率（real exchange rates）的影响。该研究主题具有重要学术价值，因石油冲击可通过影响一国贸易条件，进而作用于该国的国际竞争力。研究发现，石油需求冲击发生后，石油出口经济体的汇率面临显著的升值压力。关于石油供给冲击对汇率产生影响的证据较为有限。全球经济需求冲击会同时对石油出口国与进口国的汇率产生影响，但并未呈现出实际汇率升值或贬值的系统性规律。本研究结果证实，石油冲击对实际汇率的影响存在区制转换效应。