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

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...

Full description

Saved in:
Bibliographic Details
Published in:Energy economics 2008-09, Vol.30 (5), p.2686-2696
Main Authors: Narayan, Paresh Kumar, Narayan, Seema, Prasad, Arti
Format: Article
Language:English
Subjects:
Applied sciences
Capital market
Correlation analysis
Credit market
Crude oil prices
Economic data
Energy
Energy economics
Energy market
Exact sciences and technology
Exchange rate
Exchange rates
Fiji
Foreign exchange rates
Fossil fuels and derived products
GARCH/EGARCH model
General, economic and professional studies
Methodology. Modelling
Monetary economics
Oil
Oil price
Regression analysis
Stochastic models
Studies
Volatility
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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 rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-à-vis the US dollar.
ISSN:0140-9883
1873-6181
DOI:10.1016/j.eneco.2008.03.003