Foreign exchange markets and oil prices in Asia

Seema Narayan ()

Journal of Asian Economics, 2013, vol. 28, issue C, 41-50

Abstract: In this paper, we examine whether oil price can predict exchange rate returns for 14 Asian countries. A new GLS-based time series predictive regression model proposed by Westerlund and Narayan (WN, 2012) is used. The main finding is that higher oil price leads to future depreciation of the Vietnamese dong but future appreciations of the local currencies of Bangladesh, Cambodia, and Hong Kong. A comparison of the widely used Lewellen (2004) and WN (2012) estimators show that both provide similar results in in-sample analysis, although WN is relatively superior at longer horizons in out-of-sample analysis.

Keywords: Exchange rate; Oil prices; Asia; Endogeneity; Heteroskedasticity (search for similar items in EconPapers)
JEL-codes: E37 F31 F37 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:28:y:2013:i:c:p:41-50

DOI: 10.1016/j.asieco.2013.06.003

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