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Understanding the oil price-exchange rate nexus for the Fiji islands

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  • Narayan, Paresh Kumar
  • Narayan, Seema
  • Prasad, Arti

Abstract

In 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.

Suggested Citation

  • Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "Understanding the oil price-exchange rate nexus for the Fiji islands," Energy Economics, Elsevier, vol. 30(5), pages 2686-2696, September.
  • Handle: RePEc:eee:eneeco:v:30:y:2008:i:5:p:2686-2696
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    References listed on IDEAS

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