Oil Prices and Exchange Rates in Brazil, India and Turkey: Time and Frequency Domain Causality Analysis
This study investigates causal dynamics between crude oil prices and exchange rates in Brazil, India and Turkey by employing monthly data from the beginning of floating exchange regime to July 2011. The study benefits from the recent developments in the time series econometric analysis and carries out time domain causality tests (linear causality, non-linear causality, volatility spillover) and frequency domain causality test. Findings show that results from frequency domain causality test are slightly different from than those from time domain causality methods. The frequency domain analysis provides evidence on bi-directional causality in India and uni-directional causality from real exchange rates to real oil price in Turkey and Brazil.
Volume (Year): 1 (2013)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: |
Phone: +90.264.346 03 33
Fax: +90.264.346 03 31
Web page: http://www.siyasetekonomiyonetim.org/index.php/seyadEmail:
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:say:journl:v:1:y:2013:i:1:p:49-73. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Veli Yilanci)
If references are entirely missing, you can add them using this form.