International Conference on Eurasian Economies
17-18 September 2013 – St. Petersburg, RUSSIA
Paper detail
Paper ID : 660
Status : Paper published
Language : English
Topic : Natural Resources and Environment
Presenter:
Session : 1A Energy
The Relationship between Oil Prices and Exchange Rate: The Case of Romania
The Relationship between Oil Prices and Exchange Rate: The Case of Romania
- Assoc. Prof. Dr. Ahmet Şahbaz (Necmettin Erbakan Üniversitesi, Türkiye)
- Asst. Prof. Dr. Uğur Adıgüzel (Cumhuriyet University, Türkiye)
- Asst. Prof. Dr. Tayfur Bayat (İnönü University, Türkiye)
- Asst. Prof. Dr. Selim Kayhan (Bozok University, Türkiye)
Abstract
This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning of floating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out non-linear 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 mediun and long run.
JEL codes: F31, F41, C32
Şahbaz, Ahmet, Adıgüzel, Uğur, Bayat, Tayfur, Kayhan, Selim (2013). "The Relationship between Oil Prices and Exchange Rate: The Case of Romania" in Proceedings of International Conference of Eurasian Economies 2013, pp.33-40, St. Petersburg, RUSSIA.
DOI: https://doi.org/10.36880/C04.00660
