Measuring co-movement of oil price and exchange rate differential in Bangladesh

Gazi Uddin and Aviral Tiwari

Economics Bulletin, 2013, vol. 33, issue 3, 1922-1930

Abstract: By utilizing the wavelet analysis, investigating the co-movement of exchange rate and oil price differentials in the time-frequency space, in Bangladesh, using monthly data from 1975M7 to 2011M12, happens to be the objective of this paper. The co-movement is studied both in the time and frequency domain. A balance is being maintained in the time and frequency domain features of the data by using a wavelet-based measure of co-movement, which brings out a refinement to the previous approaches. It is being concluded that the strength of co-movement of the change in exchange rate and oil price differential varies over the time horizon in question. The policy implication from the findings is that Bangladesh Bank needs to be attentive to the shocks of oil prices while establishing a steady state of exchange rate.

Keywords: Oil Price; Exchange Rate; Wavelet Application; Bangladesh (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2013-07-22
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I3-P179.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-13-00259

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().