Oil Prices and Emerging Market Exchange Rates

Ibrahim Turhan, Erk Hacihasanoglu and Ugur Soytas

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries exchange rates. Using daily data series, the study concludes that a rise in oil price is leading to a significant appreciation in emerging economies currencies against the US dollar. In our study, we divide daily returns from 03/01/2003 to 02/06/2010 into 3 subsamples and test the role of oil price changes on exchange rate movements. We employ generalized impulse response functions to trace out the dynamic response of each exchange rate in three different time periods. Our findings suggest that oil price dynamics are changing significantly in the sample period and the relation between oil prices and exchange rates becomes more relevant after the 2008 financial crisis.

Keywords: oil prices; emerging market exchange rates; financial crisis (search for similar items in EconPapers)
JEL-codes: F31 G01 Q43 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ene and nep-opm
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Citations: View citations in EconPapers (12)

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https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... g+Paperss/2012/12-01 (application/pdf)

Related works:
Journal Article: Oil Prices and Emerging Market Exchange Rates (2013)
Working Paper: Oil prices and emerging market exchange rates (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1201

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