asymmetric adjustment of oil prices and exchange rates Revised Sptember, 2013.pdf (761.52 kB)
Asymmetric adjustment between oil prices and exchange rates : empirical evidence from major oil producers and consumers
journal contribution
posted on 2014-01-24, 12:27 authored by Ahmad Hassan AhmadAhmad Hassan Ahmad, Ricardo Moran HernandezThis 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 - 317Publisher
© ElsevierVersion
- AM (Accepted Manuscript)
Publication date
2013Notes
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.2013.10.002ISSN
1042-4431Publisher version
Language
- en