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Exchange Rate and Oil Price Interactions in Selected CEE Countries

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  • Krzysztof Drachal

    (Faculty of Economic Sciences, University of Warsaw, 00-241 Warsaw, Poland)

Abstract

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.

Suggested Citation

  • Krzysztof Drachal, 2018. "Exchange Rate and Oil Price Interactions in Selected CEE Countries," Economies, MDPI, vol. 6(2), pages 1-21, May.
    • Handle: RePEc:gam:jecomi:v:6:y:2018:i:2:p:31-:d:146114
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