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Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland

Author

Listed:
  • Tayfur Bayat

    () (Department of Economics, Inonu University, Malatya, Turkey)

  • Saban Nazlioglu

    () (Department of Econometrics, Pamukkale University, Denizli, Turkey)

  • Selim Kayhan

    () (Department of Economics, Necmettin Erbakan University, Konya, Turkey)

Abstract

This study investigates causal dynamics between crude oil prices and exchange rates in Czech Republic, Poland and Hungary by employing monthly data from the beginning of flexible exchange regime in each country to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out linear causality, non-linear causality, volatility spillover and frequency domain causality tests. The frequency domain causality analysis results imply that oil price fluctuations affect real exchange rates in the long run in Poland and Czech Republic. On the other hand, frequency domain causality test results indicate that oil price fluctuations do not affect exchange rate in any period in Hungary despite its economy’s high imported energy dependency.

Suggested Citation

  • Tayfur Bayat & Saban Nazlioglu & Selim Kayhan, 2015. "Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 267-285, June.
  • Handle: RePEc:voj:journl:v:62:y:2015:i:3:p:267-285
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    Cited by:

    1. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
    2. repec:blg:reveco:v:69:y:2017:i:5:p:55-72 is not listed on IDEAS
    3. repec:agr:journl:v:4(617):y:2018:i:4(617):p:235-252 is not listed on IDEAS
    4. repec:ddj:fserec:y:2018:p:34-42 is not listed on IDEAS
    5. Muhsin Kar & Tayfur Bayat & Selim Kayhan, 2016. "Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(3), pages 1-18, July.

    More about this item

    Keywords

    Oil prices-exchange rates relationship; Transition countries; Frequency domain;

    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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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