Understanding the oil price-exchange rate nexus for the Fiji islands

被引：133
|
作者：
Narayan, Paresh Kumar [1 ]
Narayan, Seema [2 ]
Prasad, Arti [3 ]
机构：
[1] Deakin Univ, Fac Business & Law, Sch Accounting Econ and Finance, Melbourne, Vic, Australia
[2] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic 3001, Australia
[3] Monash Univ, Fac Business & Econ, Dept Econ, Clayton, Vic 3800, Australia
来源：
ENERGY ECONOMICS | 2008年 / 30卷 / 05期
关键词：
exchange rate; oil price; volatility; GARCH/EGARCH model; Fiji;
D O I：
10.1016/j.eneco.2008.03.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange Fate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：2686 / 2696
页数：11
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