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

页数：21

共 50 条

[11] The influence of international oil price fluctuation on the exchange rate of countries along the "Belt and Road"
Wang, Yijing
Geng, Xueqing
Guo, Kun
[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59
[12] The effect of nominal exchange rate volatility on real macroeconomic performance in the CEE countries
Arratibel, Olga
Furceri, Davide
Martin, Reiner
Zdzienicka, Aleksandra
[J]. ECONOMIC SYSTEMS, 2011, 35 (02) : 261 - 277
[13] Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland
Bayat, Tayfur
Nazlioglu, Saban
Kayhan, Selim
[J]. PANOECONOMICUS, 2015, 62 (03) : 267 - 285
[14] Oil Price and Exchange Rate Behaviour of the BRICS
Salisu, Afees A.
Cunado, Juncal
Isah, Kazeem
Gupta, Rangan
[J]. EMERGING MARKETS FINANCE AND TRADE, 2021, 57 (07) : 2042 - 2051
[15] Oil price shocks and exchange rate movements
Volkov, Nikanor I.
Yuhn, Ky-hyang
[J]. GLOBAL FINANCE JOURNAL, 2016, 31 : 18 - 30
[16] Exchange rate and oil price: asymmetric adjustment
Chen, Jen-Eem
Lee, Chin-Yu
Goh, Lim-Thye
[J]. APPLIED ECONOMICS LETTERS, 2013, 20 (10) : 987 - 990
[17] Oil price shocks and exchange rate in Nigeria
Babatunde, Musibau Adetunji
[J]. INTERNATIONAL JOURNAL OF ENERGY SECTOR MANAGEMENT, 2015, 9 (01) : 2 - 19
[18] THE ANALYSIS OF OIL PRICE AND RUBLE EXCHANGE RATE
Bilan, Yuriy
Gedek, Stanislaw
Mentel, Grzegorz
[J]. TRANSFORMATIONS IN BUSINESS & ECONOMICS, 2018, 17 (03): : 195 - 205
[19] The spillover effect of VIX and oil price on the exchange rate volatility among Belt and Road countries
Geng, Xueqing
Guo, Kun
[J]. 8TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2020 & 2021): DEVELOPING GLOBAL DIGITAL ECONOMY AFTER COVID-19, 2022, 199 : 765 - 772
[20] OIL PRICE CHANGES AND REAL EXCHANGE-RATE MOVEMENTS AMONG INDUSTRIAL-COUNTRIES
MCGUIRK, AK
[J]. INTERNATIONAL MONETARY FUND STAFF PAPERS, 1983, 30 (04): : 843 - 884

← 1 2 3 4 5 →