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Asymmetric adjustment between oil prices and exchange rates : empirical evidence from major oil producers and consumers

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journal contribution
posted on 24.01.2014, 12:27 by Ahmad Hassan AhmadAhmad Hassan Ahmad, Ricardo Moran Hernandez
This paper investigates the long-run relationship and asymmetric adjustment between the real oil prices and the real bilateral exchange rates of twelve major oil producers and consumers in the world. It uses threshold autoregressive, TAR, and momentum threshold autoregressive, M-TAR models. The data-set used is monthly series that covers 1970:01–2012:01. The results reveal the existence of cointegration in six of the twelve countries studied and cointegration and asymmetric adjustment in four countries of which Brazil, Nigeria and the UK show higher adjustment after a positive shock than after a negative shock while the Eurozone shows the opposite behaviour.

History

School

  • Business and Economics

Department

  • Economics

Citation

AHMAD, A.H. and MORAN HERNANDEZ, R., 2013. Asymmetric adjustment between oil prices and exchange rates : empirical evidence from major oil producers and consumers. Journal of International Financial Markets, Institutions and Money, 27 pp. 306 - 317

Publisher

© Elsevier

Version

AM (Accepted Manuscript)

Publication date

2013

Notes

This article was published in the serial, Journal of International Financial Markets, Institutions and Money [© Elsevier]. The definitive version is available at: http://dx.doi.org/10.1016/j.intfin.2013.10.002

ISSN

1042-4431

Language

en