Understanding the oil price-exchange rate nexus for the Fiji islands
AbstractIn 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 rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 30 (2008)
Issue (Month): 5 (September)
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