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This dissertation investigates the long and the short run relationships as well as the causal relationship between oil price movements and exchange rates. The study uses daily data for a 12-year period commencing in January 2007 and December 2018, focuses on four net oil exporting African countries, namely, Nigeria, Angola, Algeria and Egypt. The data was analysed using the time series techniques covering unit root, cointegration and causality analyses. The results of the study found that in the long run, oil prices movements are observed to be negatively related to the returns on the Nigerian Naira, Egyptian Pounds and Algerian Dinar indicating that an oil price increases result in the depreciation of the exchange rates for each of the aforementioned countries. In the short run, oil prices movements are observed to be positively related to the returns on Nigerian Naira, Egyptian Pounds and Algerian Dinar indicating that oil price increase results in the appreciation of the exchange rates. The causality results show evidence of bidirectional causality for the Nigerian Naira and the Angolan Dinar, unidirectional causality for the Egyptian pound and lastly no evidence of causality was found for the Angolan Kwanza. This dissertation suggests the policymakers to stabilize the effects of oil price movements through expansionary monetary policy, to shield African economies from sudden economic depression.

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This study proposes two methods, (1) a probabilistic method based on historical oil prices and (2) a method based on Gaussian simulation, to model future prices of oil. With these methods to model future oil prices, we can calculate the ranges of uncertainty in traditional probability indicators based on cash flow analysis, such as net present values, net present value to investment ratio and internal rate of return. We found that conventional methods used to quantify uncertainty which use high, low and base prices produce uncertainty ranges far narrower than those observed historically. These methods fail because they do not capture the "shocks" in oil prices that arise from geopolitical events or supply-demand imbalances. Quantifying uncertainty is becoming increasingly important in the petroleum industry as many current investment opportunities in reservoir development require large investments, many in harsh exploration environments, with intensive technology requirements. Insight into the range of uncertainty, particularly for downside, may influence our investment decision in these difficult areas.

Motivated by a period of time in which we face historically high oil prices, this thesis analyzes to what extent oil prices actually influence inflation. By constructing a simple chart, one can see that oil price and inflation seem to have a similar pattern. However, to draw any conclusions from that is impossible. We show with econometric methods the relationship between oil prices and inflation in the case of Sweden. Sweden, as a net importer of oil, spent approximately 43.3 billion SEK on crude oil during 2004. That is 414.200 barrels of crude oil each day. Taking this into account, what would happen if the oil price suddenly increased by 10%? Considering the fact that 43.3 billion SEK is a rather large amount of money, it seems obvious that such an oil price increase should have some impact on the Swedish economy and inflation. This would occur partly through higher prices of gasoline for example, but it would occur also due to the indirect effect that companies face through higher production costs and will most likely pass on some part of that cost to the consumers. We have gathered data for oil prices and inflation for Sweden since 1981 to 2004. Together with other variables that also affect the inflation, such as money supply and interest rates, we did econometric regressions to find evidence for the relationship. We reach the conclusion that if the oil prices increase by 10%, inflation is assumed to increase with about 0.15-0.20%.

Real Business Cycle (RBC) theory together with its applications is one of the most important studies in macroeconomics. Recently, Finn Kydland and Edward Prescott received Nobel Memorial Prize in Economics. RBC is deeply affected by New Keynesian School (NKS). For example, Solow model emphasizes using CES of production function in RBC. Recently, New Keynesian Economics gives microeconomic foundations of incomplete competition, and explains macroeconomic fluctuations by prices and wages sticky. RBC and NKE were generalized into a new brake through model called DSGE. DSGE combines RBC and NKE to be a microeconomics foundation model. They consider household and firm optimal choice and integrate real and nominal shocks to let theory in macroeconomic to be close to the real world situation. This paper adopts DSGE model in Schmidt and Zimmermann (2005) into Taiwan. From 1981 to 2006, we discuss fluctuaction of macroeconomic variables in a small open economy by national oil price shocks between effect of oil price fluctutaion relationship. There are two main contributions: First, to review and put related Taiwan¡¦s literatures together which supply important calibration values. These sources provide prior information to finish foundations of this thesis. Second, this is the first thesis based on importance of price of imported oil in Taiwan. We split time-series data from 1981 to 1997 and 1998 to 2006. In the period from 1981 to 1997 the oil price shocks can explain 47% of the Taiwan business cycle fluctuations. In the second period, from 1998 to 2006, the oil price shocks can explain 69% of the Taiwan business cycle fluctuations. The main result is that the oil price shocks have more significant influence on the business cycle in Taiwan.

The primary purpose of this study is to explore whether changes in oil price are exogenous for small open economy and the significance of the financial variables in accordance with empirical results to discuss the role of monetary policies and implications. Considering the factors of monetary policy of the central banks with respect to the SVAR model, that tries to determine whether oil price shocks have disparaged effects on two small market economies, Taiwan and Korea, and trying to compare the difference and effects of their respective policies. In this paper, the empirical analysis, we found that the oil price shocks is a direct result of a major factor in decline in output, and while the impact of monetary policy effects on output is vague that coincide with Kim and Roubini (2000). In addition, Bernanke et al. (1997) analysis of the central bank encounter with the rise in oil prices in response to raise interest rates, the empirical results in this article: (1) policy implementation between the two countries have a significant impact on oil prices will be affected by the increase in oil prices which led to the implementation of central bank tightening of monetary policy , (2) central bank policy changes on behalf of the discount rate shocks, their impact on the real impact of the output is limited, (3) found that the central bank monetary policy to curb the effect of smaller price increases.

<p>Motivated by a period of time in which we face historically high oil prices, this thesis analyzes to what extent oil prices actually influence inflation. By constructing a simple chart, one can see that oil price and inflation seem to have a similar pattern. However, to draw any conclusions from that is impossible. We show with econometric methods the relationship between oil prices and inflation in the case of Sweden.</p><p>Sweden, as a net importer of oil, spent approximately 43.3 billion SEK on crude oil during 2004. That is 414.200 barrels of crude oil each day. Taking this into account, what would happen if the oil price suddenly increased by 10%? Considering the fact that 43.3 billion SEK is a rather large amount of money, it seems obvious that such an oil price increase should have some impact on the Swedish economy and inflation. This would occur partly through higher prices of gasoline for example, but it would occur also due to the indirect effect that companies face through higher production costs and will most likely pass on some part of that cost to the consumers.</p><p>We have gathered data for oil prices and inflation for Sweden since 1981 to 2004. Together with other variables that also affect the inflation, such as money supply and interest rates, we did econometric regressions to find evidence for the relationship. We reach the conclusion that if the oil prices increase by 10%, inflation is assumed to increase with about 0.15-0.20%.</p>

This study proposes two methods, (1) a probabilistic method based on historical oil prices and (2) a method based on Gaussian simulation, to model future prices of oil. With these methods to model future oil prices, we can calculate the ranges of uncertainty in traditional probability indicators based on cash flow analysis, such as net present values, net present value to investment ratio and internal rate of return. We found that conventional methods used to quantify uncertainty which use high, low and base prices produce uncertainty ranges far narrower than those observed historically. These methods fail because they do not capture the "shocks" in oil prices that arise from geopolitical events or supply-demand imbalances. Quantifying uncertainty is becoming increasingly important in the petroleum industry as many current investment opportunities in reservoir development require large investments, many in harsh exploration environments, with intensive technology requirements. Insight into the range of uncertainty, particularly for downside, may influence our investment decision in these difficult areas.

No description available.