Exchange Rate and Oil Price Interactions in Selected CEE Countries

Drachal, Krzysztof

doi:10.3390/economies6020031

Cited by 9 publications

(10 citation statements)

References 56 publications

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“…Moreover, it should be noted that most of previous investigations have been restricted to linear framework, ignoring the possible nonlinear behaviors, which may be caused by asymmetry, persistence, or structural breaks [21]. The nonlinear Granger causality tests were applied to detect the relationships between crude oil price and exchange rates by [8,[22][23][24]63]. The results of these studies were also mixed.…”

Section: Discussionmentioning

confidence: 99%

“…[10]). The nonlinear analysis of the relationships between crude oil prices and exchange rates has been performed much more rarely than the linear one, but the obtained results show that it can give a better insight into the mechanism of the investigated dependencies (e.g., [8,[20][21][22][23][24]). It has been argued that the nonlinear causality behavior between oil prices and exchange rates can be explained by asymmetric responses of economic activity to oil price shocks [25][26][27], the negative effects of oil price uncertainty on economic activity [28], structural breaks, persistence and discontinuity in the adjustment (cf.…”

Section: Introductionmentioning

confidence: 99%

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Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting

Orzeszko

2021

Energies

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The relationships between crude oil prices and exchange rates have always been of interest to academics and policy analysts. There are theoretical transmission channels that justify such links; however, the empirical evidence is not clear. Most of the studies on causal relationships in this area have been restricted to a linear framework, which can omit important properties of the investigated dependencies that could be exploited for forecasting purposes. Based on the nonlinear Granger causality tests, we found strong bidirectional causal relations between crude oil prices and two currency pairs: EUR/USD, GBP/USD, and weaker between crude oil prices and JPY/USD. We showed that the significance of these relations has changed in recent years. We also made an attempt to find an effective strategy to forecast crude oil prices using the investigated exchange rates as regressors and vice versa. To this aim, we applied Support Vector Regression (SVR)—the machine learning method of time series modeling and forecasting.

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Section: Discussionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting

Orzeszko

2021

Energies

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“…Morema and Bonga-Bonga (2018) showed returns in the industrial sector are more affected by oil prices. Based on these findings, the following hypotheses suggested: H1: The spillover effect of return and volatility of oil and stock price is met H2: The spillover effect of return and volatility of gold and exchange rate is met H3: The spillover effect of return and volatility of oil and gold is met Drachal (2018) found that oil price has a negative impact on exchange rates. Similarly, Arfaoui and Rejeb (2017) revealed that gold and USD positively impact the oil price.…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 98%

“…They have been correlated with each other and the global business cycle outlook (Mikhaylov, 2018). According to Drachal (2018), a specific change in the stock index price due to changes in the exchange rate.…”

Section: Introductionmentioning

confidence: 99%

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Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach

Huruta¹,

Hans²,

Forestal³

et al. 2021

Industrija

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This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the unidirectional (positive) spillover effect of return. Yet, the spillover effect of volatility shows a two-way relationship (both positive and negative) between commodity markets, stock prices, and exchange rates. To conclude, both stock prices and gold are volatility's net transmitters to other markets, while the EURUSD market is some markets' net receiver of volatility.

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Romanians’ Perceptions Regarding the Drivers of Social Venture. Evidence Based on AGER Data

Pãunescu

D’Ascenzo

2021

Business Revolution in a Digital Era

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Exchange Rate and Oil Price Interactions in Selected CEE Countries

Cited by 9 publications

References 56 publications

Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting

Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting

Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach

Romanians’ Perceptions Regarding the Drivers of Social Venture. Evidence Based on AGER Data

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