Oil Prices and Exchange Rates in Brazil, India and Turkey: Time and Frequency Domain Causality Analysis

Ugur Adiguzel (), Tayfur Bayat (), Selim Kayhan () and Saban Nazlioglu
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Ugur Adiguzel: Bozok University
Tayfur Bayat: Inonu University
Selim Kayhan: Bozok University

Research Journal of Politics, Economics and Management, 2013, vol. 1, issue 1, 49-73

Abstract: This study investigates causal dynamics between crude oil prices and exchange rates in Brazil, India and Turkey by employing monthly data from the beginning of floating exchange regime to July 2011. The study benefits from the recent developments in the time series econometric analysis and carries out time domain causality tests (linear causality, non-linear causality, volatility spillover) and frequency domain causality test. Findings show that results from frequency domain causality test are slightly different from than those from time domain causality methods. The frequency domain analysis provides evidence on bi-directional causality in India and uni-directional causality from real exchange rates to real oil price in Turkey and Brazil.

Keywords: Oil Prices; Exchange Rates; Frequency Domain Causality Analysis (search for similar items in EconPapers)
JEL-codes: C32 F31 F32 Q43 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:say:journl:v:1:y:2013:i:1:p:49-73

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