Asymmetric adjustment between oil prices and exchange rates: empirical evidence from major oil producers and consumers

A. H. Ahmad, Ricardo Moran Hernandez

Research output: Contribution to journalArticlepeer-review

26 Citations (Scopus)

Abstract

This paper investigates the long-run relationship and asymmetric adjustment between the real oil prices and the real bilateral exchange rates of twelve major oil producers and consumers in the world. It uses threshold autoregressive, TAR, and momentum threshold autoregressive, M-TAR models. The data-set used is monthly series that covers 1970:01-2012:01. The results reveal the existence of cointegration in six of the twelve countries studied and cointegration and asymmetric adjustment in four countries of which Brazil, Nigeria and the UK show higher adjustment after a positive shock than after a negative shock while the Eurozone shows the opposite behaviour.
Original languageEnglish
Pages (from-to)306-317
JournalJournal of International Financial Markets, Institutions and Money
Volume27
Early online date26 Oct 2013
DOIs
Publication statusPublished - Dec 2013

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