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Economic Change and Restructuring

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21.11.2022

Time-varying causality between oil price and exchange rate in five ASEAN economies

verfasst von: Mustafa Kocoglu, Phouphet Kyophilavong, Ashar Awan, So Young Lim

Erschienen in: Economic Change and Restructuring | Ausgabe 2/2023

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Abstract

The aim of this study is to investigate the effect of oil price changes on the exchange rates of the five ASEAN economies. In the study, a rolling and recursive evolving window algorithm is applied to detect changes in the link between oil price and exchange rate from January 1988 to June 2022 for five ASEAN countries. We extend the existing literature using the Time-varying Granger causality model, which captures sensitivities across various time horizons. The findings revealed heterogeneous effects of oil price on the exchange rate at different time horizons in terms of importance and magnitude over time. Our empirical results support the combined movements of oil prices and exchange rates against some important dates and events. The findings provide investors with insight into the utility of the shock transmission mechanism and how central banks design market intervention policies.

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Titel: Time-varying causality between oil price and exchange rate in five ASEAN economies
verfasst von: Mustafa Kocoglu
Phouphet Kyophilavong
Ashar Awan
So Young Lim
Publikationsdatum: 21.11.2022
Verlag: Springer US
Erschienen in: Economic Change and Restructuring / Ausgabe 2/2023
Print ISSN: 1573-9414
Elektronische ISSN: 1574-0277
DOI: https://doi.org/10.1007/s10644-022-09457-6

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