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Oil Prices and REER with Impact of Regime Dummies

Syed Shujaat Ahmed () and Sidra Nazir
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Syed Shujaat Ahmed: Pakistan Institute of Development Economics, Pakistan.

Authors registered in the RePEc Author Service: Shujaat Ahmed () and Shujaat Ahmed Syed ()

Journal of Economics Bibliography, 2016, vol. 3, issue 1, 123-133

Abstract: This study is basically explores the long run relationship between REER, IRD and Oil Prices, with the use of dummies and interaction terms for exchange rate regimes in Pakistan. By using Hatemi – J residual based cointegration test. Test has modified by including level shift, level shift with trend and regime shift. The data span is from the period of 1982m01-2014m03 in case of Pakistan. Also negative relationship betweenIRD and REER is due to indirect relationship between inflation and nominal interest rate that leads to fall in exchange rate. Long run relationship has concluded from cointegration test between variables.

Keywords: Hatemi-J residual based cointegration; Cointegration test; Level Shift; Regime Shift and Interaction terms. (search for similar items in EconPapers)
JEL-codes: N70 O13 P28 (search for similar items in EconPapers)
Date: 2016
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