کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7376725 1480108 2017 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach
ترجمه فارسی عنوان
قیمت نفت و نرخ متحرک در کشورهای آسیایی: رویکرد همبستگی متقابل
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
Most empirical literature investigates the relation between oil prices and exchange rate through different models. These models measure this relationship on two time scales (long and short terms), and often fail to observe the co-movement of these variables at different time scales. We apply a detrended cross-correlation approach (DCCA) to investigate the co-movements of the oil price and exchange rate in 12 Asian countries. This model determines the co-movements of oil price and exchange rate at different time scale. The exchange rate and oil price time series indicate unit root problem. Their correlation and cross-correlation are very difficult to measure. The result becomes spurious when periodic trend or unit root problem occurs in these time series. This approach measures the possible cross-correlation at different time scale and controlling the unit root problem. Our empirical results support the co-movements of oil prices and exchange rate. Our results support a weak negative cross-correlation between oil price and exchange rate for most Asian countries included in our sample. The results have important monetary, fiscal, inflationary, and trade policy implications for these countries.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 465, 1 January 2017, Pages 338-346
نویسندگان
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