Economics at your fingertips  

Exchange rate and oil price: asymmetric adjustment

Jen-Eem Chen, Chin-Yu Lee and Lim Thye Goh ()

Applied Economics Letters, 2013, vol. 20, issue 10, 987-990

Abstract: This article aims to investigate whether the interaction between exchange rate and oil price exhibits asymmetric adjustment in Philippines using quarterly data over the period 1970Q1 to 2011Q4. The Threshold Autoregressive (TAR) model reveals that exchange rate and oil price are not cointegrated. However, these two variables are asymmetrically adjusted in Momentum Threshold Autoregressive (MTAR) model. Thus, it suggests that adjustment mechanism towards equilibrium may not be necessarily constant.

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/13504851.2013.770118

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2021-11-18
Handle: RePEc:taf:apeclt:v:20:y:2013:i:10:p:987-990