Oil price shocks, real exchange rates and real stock returns in Africa.
| dc.contributor.author | Nana-Amankwaah, Elizabeth | |
| dc.date.accessioned | 2025-06-05T14:26:13Z | |
| dc.date.available | 2025-06-05T14:26:13Z | |
| dc.date.issued | 2019-05 | |
| dc.description | A Thesis Presented In Partial Fulfillment Of The Requirements For The Award Of The Degree Of Master Of Philosophy In Economics. | |
| dc.description.abstract | The study examined the impact of oil price shocks on real exchange rates and stock returns. Using a decomposition analytical framework, oil price shocks was disaggregated into three components – aggregate demand shocks, oil-specific demand shocks and oilsupply shocks. The study then proceeded to investigate the short-run transmission of these components of an oil price shock to real exchange rate and real stock market returns as well as the degree of pass-through effect for oil importing countries. Monthly data covering January 2000 to May 2017 of selected African countries was used for this work. Using several econometric models specified in basic and panel vector autoregressive forms plus the impulse response functions and variance decomposition techniques, the sensitivity of real exchange rate and stock market returns to disaggregated oil price shocks were examined. At the end of the study, it was detected that oil price movements have been mainly associated with shocks to oil demand rather than oil supply. The shortrun results revealed a partial (incomplete) pass-through of oil price shocks to stock market returns and real exchange rate through the real exchange rate channel and real stock returns channel respectively. Furthermore a positive oil price shock leads to depreciation in real exchange rate and an appreciation in real stock market returns in the short-run for oil importing African countries. The robustness tests were consistent withthe main findings (i.e. for countries which were affected by oil price shocks). Giving the findings, it was recommended that policymakers should vote for policies that will cushion the economies against oil price shocks by hedging the purchase of oil against high oil prices. | |
| dc.description.sponsorship | KNUST | |
| dc.identifier.uri | https://ir.knust.edu.gh/handle/123456789/17196 | |
| dc.language.iso | en | |
| dc.publisher | KNUST | |
| dc.title | Oil price shocks, real exchange rates and real stock returns in Africa. | |
| dc.type | Thesis |