GCC Countries and the Nexus between Exchange Rate and Oil Price: What wavelet decomposition reveals?
Jamal Bouoiyour () and
Refk Selmi
MPRA Paper from University Library of Munich, Germany
Abstract:
We employ wavelet decomposition and nonlinear causality test to investigate the nexus between the real oil price and the real effective exchange rate in three GCC countries : Qatar, Saudi Arabia and UAE. We find strong evidence in favor of a feedback hypothesis in Qatar and UAE and of a neutrality hypothesis in Saudi Arabia. The first observation outcome means that Qatar and UAE should reinforce the downward effect of oil price on real exchange rate by improving diversification policy. The second one implies that the behavior of Saudi Arabia as a price maker may allows it to maintain a quick recovery under oil shocks.
Keywords: real oil price; real effective exchange rate; wavelets; nonlinear causality. (search for similar items in EconPapers)
JEL-codes: Q4 Q43 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ara, nep-ene and nep-opm
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Citations: View citations in EconPapers (8)
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Related works:
Journal Article: GCC countries and the nexus between exchange rate and oil price: What wavelet decomposition reveals? (2015) 
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:55871
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