A directional analysis of oil prices and real exchange rates in BRIC countries

Hamid Baghestani, Abdelaziz Chazi and Ashraf Khallaf

Research in International Business and Finance, 2019, vol. 50, issue C, 450-456

Abstract: Numerous studies provide evidence in favor of oil prices as a dominant factor influencing real exchange rates but note variations across countries and time. In this study, we examine whether the change in oil prices accurately predicts the direction of change in the real effective exchange rates of BRIC countries (Brazil, Russia, India, and China) for 1994–2017. Our findings indicate that, unlike for 1994–2007, the change in oil prices accurately predicts the direction of change in the real exchange rates of Brazil and Russia (India) for 2008–2017 (2008–2012). As for the real exchange rate of China, oil prices display no directional predictive power either for the period before or after the 2008 global financial crisis. We conclude by offering some insights regarding the different findings across BRIC countries.

Keywords: BRIC; Oil prices; Foreign exchange; Directional association; Asymmetric loss (search for similar items in EconPapers)
JEL-codes: C14 F31 G15 Q43 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:50:y:2019:i:c:p:450-456

DOI: 10.1016/j.ribaf.2019.06.013

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