Foreign exchange markets and oil prices in Asia

被引：22

作者：

Narayan, Seema ^{[1
]}

机构：

[1] RMIT Univ, Sch Econ Finance & Mkt, 445 Swanston St, Melbourne, Vic 3000, Australia

来源：

JOURNAL OF ASIAN ECONOMICS | 2013年 / 28卷

关键词：

Exchange rate; Oil prices; Asia; Endogeneity; Heteroskedasticity;

D O I：

10.1016/j.asieco.2013.06.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we examine whether oil price can predict exchange rate returns for 14 Asian countries. A new GLS-based time series predictive regression model proposed by Westerlund and Narayan (WN, 2012) is used. The main finding is that higher oil price leads to future depreciation of the Vietnamese dong but future appreciations of the local currencies of Bangladesh, Cambodia, and Hong Kong. A comparison of the widely used Lewellen (2004) and WN (2012) estimators show that both provide similar results in insample analysis, although WN is relatively superior at longer horizons in out- of-sample analysis. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：41 / 50

页数：10

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