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Measuring co-movement of oil price and exchange rate differential in Bangladesh

  • Gazi Salah Uddin

    ()

    (Department of Management & Engineering, Linköping University)

  • Aviral Kumar Tiwari

    ()

    (Faculty of Management Studies, ICFAI University Tripura)

By utilizing the wavelet analysis, investigating the co-movement of exchange rate and oil price differentials in the time-frequency space, in Bangladesh, using monthly data from 1975M7 to 2011M12, happens to be the objective of this paper. The co-movement is studied both in the time and frequency domain. A balance is being maintained in the time and frequency domain features of the data by using a wavelet-based measure of co-movement, which brings out a refinement to the previous approaches. It is being concluded that the strength of co-movement of the change in exchange rate and oil price differential varies over the time horizon in question. The policy implication from the findings is that Bangladesh Bank needs to be attentive to the shocks of oil prices while establishing a steady state of exchange rate.

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File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I3-P179.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 33 (2013)
Issue (Month): 3 ()
Pages: 1922-1930

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Handle: RePEc:ebl:ecbull:eb-13-00259
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