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Oil Prices and Exchange Rates in Brazil, India and Turkey: Time and Frequency Domain Causality Analysis

Author

Listed:
  • Ugur Adiguzel

    () (Bozok University)

  • Tayfur Bayat

    () (Inonu University)

  • Selim Kayhan

    () (Bozok University)

  • Saban Nazlioglu

    () (Pamukkale University)

Abstract

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.

Suggested Citation

  • Ugur Adiguzel & Tayfur Bayat & Selim Kayhan & Saban Nazlioglu, 2013. "Oil Prices and Exchange Rates in Brazil, India and Turkey: Time and Frequency Domain Causality Analysis," Research Journal of Politics, Economics and Management, Sakarya University, Faculty of Economics and Administrative Sciences, vol. 1(1), pages 49-73, January.
  • Handle: RePEc:say:journl:v:1:y:2013:i:1:p:49-73
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    Cited by:

    1. Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017. "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, vol. 61(C), pages 162-173.

    More about this item

    Keywords

    Oil Prices; Exchange Rates; Frequency Domain Causality Analysis;

    JEL classification:

    • 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
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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