The Decline of Crude Oil Price Influence on the RON/EUR Exchange Rate

This paper approaches the sensitivity to the external turbulences of the crude oil price influence on the exchanges rates from Romania. This country has a particular situation being an importer of the crude oil and an exporter of refined petroleum products. In the last decades, in Romania it was applied a managed float exchange rate regime. We employ a TS-GARCH model to study the relationship between daily values of the crude oil price and the exchange rate of Romanian currency against the euro for four periods: two relative quiet (January 2000 – December 2006 and January 2013 – April 2018) and two turbulent (January 2007 – December 2010 and January 2011 – December 2012). For the two quiet periods we found no impact of the crude oil price on the exchange rate. In the case of period January 2007 – December 2010, in the circumstances of global crisis, the results indicate that an increase of the crude oil price led to the appreciation of the Romanian currency against the euro. For the period January 2011 – December 2012, when the financial markets were affected by the European sovereign debt crisis, we found a significant impact of the crude oil price on the volatility of the exchange rates. The decline of the crude oil price influence on the exchange rates could be explained by the attenuation of the external turbulences but also by the transformations that occurred in the oil industry of Romania.