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Asymmetric adjustment between oil prices and exchange rates: Empirical evidence from major oil producers and consumers

Ahmad Hassan Ahmad and Ricardo Moran Hernandez

Journal of International Financial Markets, Institutions and Money, 2013, vol. 27, issue C, 306-317

Abstract: This paper investigates the long-run relationship and asymmetric adjustment between the real oil prices and the real bilateral exchange rates of twelve major oil producers and consumers in the world. It uses threshold autoregressive, TAR, and momentum threshold autoregressive, M-TAR models. The data-set used is monthly series that covers 1970:01–2012:01. The results reveal the existence of cointegration in six of the twelve countries studied and cointegration and asymmetric adjustment in four countries of which Brazil, Nigeria and the UK show higher adjustment after a positive shock than after a negative shock while the Eurozone shows the opposite behaviour.

Keywords: Exchange rates; Oil prices; Threshold cointegration; Asymmetry adjustments (search for similar items in EconPapers)
JEL-codes: F30 F31 C22 (search for similar items in EconPapers)
Date: 2013
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