Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate
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| Автор |
Samargandi, N.
Sohag, K. |
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| Тематика |
COVID-19 PANDEMIC
FOREIGN ASSETS FOREIGN LIABILITY SAUDI ARABIA |
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| Описание |
The Saudi economy ought to maintain a significant amount of foreign exchange reserves due to the pegged exchange rate regime. As a hydrocarbon economy, we measure the dynamic response of external assets and liabilities of banks to the international oil price in Saudi Arabia. In the presence of extreme observations, we apply sophisticated frameworks, including cross-quantilograms, quantile-on-quantile and TVP-VAR approaches, to analyze weekly time-series data from 1993 to 2021. Our results from the cross-quantilogram and quantile-on-quantile frameworks demonstrate that foreign assets and liabilities responded asymmetrically to the volatilities of international oil prices under the bullish and bearish states of the market over different memories. The TVP-VAR results indicate that, during the COVID-19 pandemic, the Saudi economy encountered negative net foreign assets, which occurred mainly as a significant plague of international oil prices. Our findings are robust under different estimators. © 2022 by the authors.
King Abdulaziz University, KAU, (GCV19-12-1441) Deanship of Scientific Research, King Saud University This project was funded by the Deanship of Scientific Research (DSR) at King Abdulaziz University, Jeddah, under grant no. GCV19-12-1441. The authors greatly acknowledge DSR’s technical and financial support. |
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| Дата |
2024-04-08T11:06:13Z
2024-04-08T11:06:13Z 2022 |
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| Тип |
Article
Journal article (info:eu-repo/semantics/article) Published version (info:eu-repo/semantics/publishedVersion) |
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| Идентификатор |
Samargandi, N & Sohag, K 2022, 'Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate', Mathematics, Том. 10, № 24, 4752. https://doi.org/10.3390/math10244752
Samargandi, N., & Sohag, K. (2022). Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate. Mathematics, 10(24), [4752]. https://doi.org/10.3390/math10244752 2227-7390 Final All Open Access; Gold Open Access https://www.mdpi.com/2227-7390/10/24/4752/pdf?version=1671018197 https://www.mdpi.com/2227-7390/10/24/4752/pdf?version=1671018197 http://elar.urfu.ru/handle/10995/131296 10.3390/math10244752 85144739361 000920616900001 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
cc-by https://creativecommons.org/licenses/by/4.0/ |
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| Формат |
application/pdf
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| Издатель |
MDPI
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| Источник |
Mathematics
Mathematics |
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