Exchange Rate and Oil Price Interactions in Selected CEE Countries

Krzysztof Drachal

Economies, 2018, vol. 6, issue 2, 1-21

Abstract: This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according to the flexibility of exchange rate regimes in each country. A period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks–Panchenko test, while the causality in variance is checked with the Hafner–Herwartz test.

Keywords: causality; exchange rates; non-linear causality; oil price; stock prices; volatility spillover (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:6:y:2018:i:2:p:31-:d:146114

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