RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF ROMANIA
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, vol.48, no.2, pp.245-256, 2014 (SCI-Expanded, SSCI, Scopus)
- Publication Type: Article / Article
- Volume: 48 Issue: 2
- Publication Date: 2014
- Journal Name: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
- Page Numbers: pp.245-256
- Inonu University Affiliated: Yes
Abstract
This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning Bloating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out nonlinear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the median and long run.