Oil Prices and Emerging Market Exchange Rates
AbstractThis paper investigates the role of oil prices in explaining the dynamics of selected emerging countries' exchange rates. Using daily data series, the study concludes that a rise in oil prices leads to significant appreciation of emerging economies' currencies against the U.S. dollar. The authors divide daily returns from January 3, 2003, to June 2, 2010, into three subsamples and test the impact of changes in oil prices on exchange rate movements, generalizing impulse response functions to track the dynamic response of each exchange rate in three different time periods. Their findings suggest that oil price dynamics changed significantly in the sample period and the relationship between oil prices and exchange rates became more obvious after the 2008 financial crisis.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 49 (2013)
Issue (Month): S1 (January)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
emerging market exchange rates; financial crisis; oil prices;
Other versions of this item:
- M. Ibrahim Turhan & Erk Hacihasanoglu & Ugur Soytas, 2012. "Oil Prices and Emerging Market Exchange Rates," Working Papers 1201, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Hacihasanoglu, Erk & Turhan, Ibrahim M. & Soytas, Ugur, 2012. "Oil prices and emerging market exchange rates," MPRA Paper 36477, University Library of Munich, Germany.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
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