On the relationship between oil price and exchange rates: A wavelet analysis

Gazi Salah Uddin, Aviral Tiwari, Mohamed Arouri and Frédéric Teulon

Economic Modelling, 2013, vol. 35, issue C, 502-507

Abstract: We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by investigating the said relationship within the time–frequency space. Over the time horizon, it is being established that the strength of the relationship between oil price and exchange rate keeps changing. If the Bank of Japan needs to control the exchange rate, it should give proper importance to shocks on oil prices, while formulating exchange rate policy.

Keywords: Oil price; Exchange rates; Wavelets; Japan (search for similar items in EconPapers)
JEL-codes: C40 E31 E32 F44 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (102)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:502-507

DOI: 10.1016/j.econmod.2013.07.035

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