Oil Prices and Exchanges Rate Co-Movements: Empirical Evidence from Sudan
Dr. Musa Albur

Abstract
This study applies exponential generalized autoregressive conditional heteroscedastic approach to model oil price and exchange rate in the context of the Sudanese economy. Daily observations are used in the analysis covering the period January 2008 to December 2018. The findings of the study illustrated that oil returns (fluctuations) have statistically significant impact on the current values of returns on exchange rate. Specifically, the results indicate that that an increase of 10% in crude oil price returns will lead to approximately 0.39% depreciation of the Sudanese Pound against the US dollar. Regarding the volatility transmission, the estimated results indicate that exchange rate fluctuations measured by the conditional volatility is significantly influenced by volatility experienced in oil market. These results may have important implications and of great interest for monetary policies aiming at controlling oil inflationary pressures.

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