Exchange rate and oil price: asymmetric adjustment

被引：9

作者：

Chen, Jen-Eem ^{[1
]}

Lee, Chin-Yu ^{[2
]}

Goh, Lim-Thye ^{[3
]}

机构：

[1] Univ Teknol MARA, Fac Business Management, Shah Alam 40450, Malaysia

[2] Univ Tunku Abdul Rahman, Fac Business & Finance, Kampar 31900, Malaysia

[3] Univ Putra Malaysia, Fac Econ & Management, Serdang 43000, Malaysia

来源：

APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 10期

关键词：

exchange rate; oil price; asymmetric cointegration; asymmetric error-correction modelling; F31; C22; COINTEGRATION;

D O I：

10.1080/13504851.2013.770118

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article aims to investigate whether the interaction between exchange rate and oil price exhibits asymmetric adjustment in Philippines using quarterly data over the period 1970Q1 to 2011Q4. The Threshold Autoregressive (TAR) model reveals that exchange rate and oil price are not cointegrated. However, these two variables are asymmetrically adjusted in Momentum Threshold Autoregressive (MTAR) model. Thus, it suggests that adjustment mechanism towards equilibrium may not be necessarily constant.

引用

页码：987 / 990

页数：4

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