Understanding the oil price-exchange rate nexus for the Fiji islands

被引：142

作者：

Narayan, Paresh Kumar ^{[1
]}

Narayan, Seema ^{[2
]}

Prasad, Arti ^{[3
]}

机构：

[1] Deakin Univ, Fac Business & Law, Sch Accounting Econ and Finance, Melbourne, Vic, Australia

[2] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic 3001, Australia

[3] Monash Univ, Fac Business & Econ, Dept Econ, Clayton, Vic 3800, Australia

来源：

ENERGY ECONOMICS | 2008年 / 30卷 / 05期

关键词：

exchange rate; oil price; volatility; GARCH/EGARCH model; Fiji;

D O I：

10.1016/j.eneco.2008.03.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange Fate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2686 / 2696

页数：11

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