The paper investigates the oil price fluctuation on exchange rates for main African net oil importing countries, namely South Africa, Morocco, Côte d’Ivoire, Kenya, Ghana and Senegal that cover for the period from 1983Q2 to 2018Q4. In order to thoroughly examine the subject matter, this study takes a specific account of the symmetric and asymmetric effects of oil price changes in modelling process by utilizing innovative linear autoregressive distributed lag (ARDL) technique and asymmetric nonlinear autoregressive distributed lag (NARDL) technique, which accommodate the short-run and long-run asymmetries via positive (increase) and negative (decrease) partial sum decompositions of oil price shocks. The result suggests that the variables are cointegrated, signifying the evidence of long and short run relationships of each country. Evidence of long and short run asymmetries is also confirmed in Côte d’Ivoire, Ghana and Senegal, suggesting that rising and declining oil price have different effect on exchange rate, while symmetric effect is observed in South Africa and Morocco. Rising oil price has positive effect on exchange rate in South Africa and Senegal leading to depreciation of exchange rate, while falling oil price leads to exchange rate appreciation of South Africa rand, Ghanaian cedi and Senegal francs but exchange rate depreciation of Moroccan dirham and Cote d’Ivoire francs. The result further suggests that negative decrease in oil price has a larger impact on exchange rate than the positive increase that varies in sign and size across countries. This suggests that oil price changes play a significance role that influence the behaviour of exchange rate and hence leading to contribute to the development of national economic progress.

中文翻译：

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探讨油价对汇率的不对称影响：来自非洲六大石油净进口国的证据

本文调查了1983年第二季度至2018年第四季度非洲主要石油净进口国南非、摩洛哥、科特迪瓦、肯尼亚、加纳和塞内加尔的油价波动对汇率的影响。为了深入研究这一主题，本研究利用创新的线性自回归分布滞后（ARDL）技术和非对称非线性自回归分布滞后（NARDL）技术，在建模过程中具体考虑了油价变化的对称和非对称效应，它通过石油价格冲击的正（增加）和负（减少）部分和分解来适应短期和长期的不对称性。结果表明，变量是协整的，表明每个国家的长期和短期关系的证据。科特迪瓦、加纳和塞内加尔也证实了长期和短期不对称的证据，表明油价上涨和下跌对汇率的影响不同，而南非和摩洛哥则观察到对称效应。油价上涨对南非和塞内加尔汇率产生积极影响，导致汇率贬值；油价下跌则导致南非兰特、加纳塞地和塞内加尔法郎汇率升值，但摩洛哥迪拉姆和科特迪瓦汇率贬值'科特迪瓦法郎。结果进一步表明，油价负下跌对汇率的影响大于正上涨，而各国的迹象和幅度各不相同。这表明石油价格变化对汇率行为具有重要影响，从而有助于国民经济进步。