The impacts of the oil price fall on the exchange rates of ASEAN-5: Evidence from the 2014 oil price shock
Economics Bulletin, 2017, vol. 37, issue 1, 468-479
In mid 2014, the crude oil price started to decrease significantly, and this sharp fall in the crude oil price had a considerable impact on the world economy and international trade. In this paper, we examined the impacts of the recent oil price fall on the exchange rates of the five biggest economies of the Association of Southeast Asian Nations (ASEAN-5). The derived results showed significant changes in dynamic conditional correlation and causality relationship among commodity and foreign exchange markets during the period of the crude oil price decrease.
Keywords: Crude oil price; exchange rate; dynamic linkage; causality; ASEAN; DCC; GARCH; EGARCH (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00172
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