<abstract xmlns="http://www.w3.org/1999/xhtml">

<bold>Research background:</bold> The aim of this paper is to examine the long run relationship among oil prices and the Algerian Dinar exchange rate over the period January 1995–February 2020 in Algeria as one of the most important oil-exporting countries and one of the OPEC members.
<bold>Purpose:</bold> This study investigated the co-integration relationship between oil prices and exchange rate in Algeria by testing the long-run relationship between the two variables and their positive and negative shocks.
<bold>Research methodology:</bold> the study applied both the traditional co-integration analysis using Engle-Granger, Phillips-Ouliaris and Johansen-Juselius tests and the hidden co-integration presented by Granger and Yoon (2002).
<bold>Results:</bold> The results revealed that there is no evidence of a co-movement and linkage between oil prices and exchange rate in Algeria over the period of study neither with the original series nor between the cumulative components whatever the dependent variable.
<bold>Novelty:</bold> This paper fills in the missing link between the Algerian Dinar exchange rate and oil prices especially with the absence of the hidden co-integration analysis in the case of Algeria and most of the developing countries. To deal with the oil shocks according to Apergis and Miller (2007) and Narayan and Gupta (2015) studies where when they suggested distinguishing between the negative and positive oil price shocks because the asymmetric effect on the macroeconomic variables.
</abstract>

Research background: The aim of this paper is to examine the long run relationship among oil prices and the Algerian Dinar exchange rate over the period January 1995–February 2020 in Algeria as one of the most important oil-exporting countries and one of the OPEC members.
Purpose: This study investigated the co-integration relationship between oil prices and exchange rate in Algeria by testing the long-run relationship between the two variables and their positive and negative shocks.
Research methodology: the study applied both the traditional co-integration analysis using Engle-Granger, Phillips-Ouliaris and Johansen-Juselius tests and the hidden co-integration presented by Granger and Yoon (2002).
Results: The results revealed that there is no evidence of a co-movement and linkage between oil prices and exchange rate in Algeria over the period of study neither with the original series nor between the cumulative components whatever the dependent variable.
Novelty: This paper fills in the missing link between the Algerian Dinar exchange rate and oil prices especially with the absence of the hidden co-integration analysis in the case of Algeria and most of the developing countries. To deal with the oil shocks according to Apergis and Miller (2007) and Narayan and Gupta (2015) studies where when they suggested distinguishing between the negative and positive oil price shocks because the asymmetric effect on the macroeconomic variables.

Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?

Lecturer B, Department of economics, commercial and management sciences

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

Research background: The aim of this paper is to examine the long run relationship among oil prices and the Algerian Dinar exchange rate over the period...

Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?

Pubblicato online: 24 giu 2021

Pagine: 1 - 17

Ricevuto: 09 apr 2020

Accettato: 09 mar 2021

DOI: https://doi.org/10.2478/foli-2021-0001

Parole chiave
Exchange rate, Oil prices, Hidden co-integration, asymmetric relationships

© 2021 Hicham Ayad, published by Sciendo

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?

Pubblicato online: 24 giu 2021

Pagine: 1 - 17

Ricevuto: 09 apr 2020

Accettato: 09 mar 2021

DOI: https://doi.org/10.2478/foli-2021-0001

Parole chiaveExchange rate, Oil prices, Hidden co-integration, asymmetric relationships

© 2021 Hicham Ayad, published by Sciendo

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

Parole chiave
Exchange rate, Oil prices, Hidden co-integration, asymmetric relationships