Exchange Rate and Oil Price Interactions in Selected CEE Countries

被引：3
|
作者：
Drachal, Krzysztof [1 ]
机构：
[1] Univ Warsaw, Fac Econ Sci, PL-00241 Warsaw, Poland
来源：
ECONOMIES | 2018年 / 6卷 / 02期
关键词：
causality; exchange rates; non-linear causality; oil price; stock prices; volatility spillover;
D O I：
10.3390/economies6020031
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according to the flexibility of exchange rate regimes in each country. A period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks-Panchenko test, while the causality in variance is checked with the Hafner-Herwartz test.
引用
收藏
页数：21
相关论文
共 50 条
12345