Oil prices and emerging market exchange rates

Erk Hacihasanoglu, Ibrahim Turhan and Ugur Soytas

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries exchange rates. Using daily data series, the study concludes that a rise in oil price is leading to a significant appreciation in emerging economies currencies against the US dollar. In our study, we divide daily returns from 03/01/2003 to 02/06/2010 into 3 subsamples and test the role of oil price changes on exchange rate movements. We employ generalized impulse response functions to trace out the dynamic response of each exchange rate in three different time periods. Our findings suggest that oil price dynamics are changing significantly in the sample period and the relation between oil prices and exchange rates becomes more relevant after the 2008 financial crisis.

Keywords: oil prices; emerging market exchange rates; international financial markets; financial crisis (search for similar items in EconPapers)
JEL-codes: F31 G01 G15 Q43 (search for similar items in EconPapers)
Date: 2012-01
New Economics Papers: this item is included in nep-ene and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published in The Central Bank of the Republic of Turkey Working Papers Series 12.1(2012): pp. 1-26

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/36477/1/MPRA_paper_36477.pdf original version (application/pdf)

Related works:
Journal Article: Oil Prices and Emerging Market Exchange Rates (2013)
Working Paper: Oil Prices and Emerging Market Exchange Rates (2012)
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: https://EconPapers.repec.org/RePEc:pra:mprapa:36477

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter (winter@lmu.de).