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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/14025

Title: Asymmetric adjustment between oil prices and exchange rates : empirical evidence from major oil producers and consumers
Authors: Ahmad, A.H.
Moran Hernandez, Ricardo
Keywords: Exchange rates
Oil prices
Threshold cointegration
Asymmetry adjustments
Issue Date: 2013
Publisher: © Elsevier
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
Abstract: 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.
Description: 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
Version: Accepted for publication
DOI: 10.1016/j.intfin.2013.10.002
URI: https://dspace.lboro.ac.uk/2134/14025
Publisher Link: http://dx.doi.org/10.1016/j.intfin.2013.10.002
ISSN: 1042-4431
Appears in Collections:Published Articles (Economics)

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