_____________________________________________________________________________________________________ *Corresponding author: E-mail: smwankemwa@yahoo.com; Asian Journal of Economics, Business and Accounting 16(3): 16-29, 2020; Article no.AJEBA.58138 ISSN: 2456-639X Investigation of Global Crude Oil Price Shocks verses Exchange Rates Nexus: Evidenced from Tanzanian Shillings Suma Mwankemwa 1* , Isack Kibona 2 and Aziza M. Said 1 1 Department of Accountancy and Finance, Tanzania Institute of Accountancy, P.O.Box 9522, Dar es Salaam, Tanzania. 2 Department of Mathematics and Statistics, Mbeya University of Science and Technology, P.O.Box 131, Mbeya, Tanzania. Authors’ contributions This work was carried out in collaboration among all authors. All authors read and approved the final manuscript. Article Information DOI: 10.9734/AJEBA/2020/v16i330239 Editor(s): (1) Dr. Maria Ciurea, University of Petroșani, Romania. Reviewers: (1) Olusegun Ebenezer Ojo, University of Ibadan, Nigeria. (2) Rabia Najaf, Taylor S University, Malaysia. (3) Kevin Wanjala, Egerton University, Kenya. Complete Peer review History: http://www.sdiarticle4.com/review-history/58138 Received 24 April 2020 Accepted 30 June 2020 Published 28 July 2020 ABSTRACT This study investigated the nexus of crude oil price shocks and exchange rates of Tanzanian shillings (TSh) as an oil importing country. Using weekly series data for the period 01/01/2005 to 31/12/2015, Vector Autoregressive (VAR) model was employed to test the relationship of crude oil prices and Tanzanian exchange rates. In addition, Granger Causality was tested to check the causality of these two variables. The findings of this study show that oil prices granger causes the exchange rate of TSh while exchange rates of TSh cannot Granger cause the oil prices. Also, the impulse response functions revealed that crude oil price shocks initially had a significant negative effect on TSh, however, there was a slightly negative effect on crude oil starting from TSh as a granger causer. VAR results showed that all the coefficients of TSh do not significantly influence crude oil prices. Crude oil price coefficients had a negative significance towards explaining the variability of Tanzanian shillings’ exchange rates (TZS).This revealed that a change in oil prices would precede changes in TSh movements. Original Research Article