Understanding the oil price-exchange rate nexus for the Fiji islands

Paresh Narayan (), Seema Narayan () and Arti Prasad

Energy Economics, 2008, vol. 30, issue 5, 2686-2696

Abstract: In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:30:y:2008:i:5:p:2686-2696

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