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Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

Author

Listed:
  • La Ode Saidi

    (Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Hasan Aedy

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Fajar Saranani

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Rosnawintang Rosnawintang

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Pasrun Adam

    (Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • La Ode Arsad Sani

    (Department of Animal Science, Universitas Halu Oleo, Kendari 93232, Indonesia.)

Abstract

This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of WTI crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the NARDL-GARCH-M model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.

Suggested Citation

  • La Ode Saidi & Hasan Aedy & Fajar Saranani & Rosnawintang Rosnawintang & Pasrun Adam & La Ode Arsad Sani, 2020. "Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in ," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 104-108.
    • Handle: RePEc:eco:journ2:2020-01-15
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    References listed on IDEAS

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    2. Zhao, Xue & Xie, Chengyuan & Huang, Lu & Wang, Yaru & Han, Tongyun, 2023. "How digitalization promotes the sustainable integration of culture and tourism for economic recovery," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 988-1000.

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    More about this item

    Keywords

    Crude oil prices; exchange rates; volatility; NARDL model; GARCH-M model;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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