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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2016.1
- 수록면
- 319 - 342 (24page)
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In this paper we use quarterly data from 1973:Q1 to 2013:Q4 to ex\-plore the long-run relationship between real oil prices and real ex\-change rates for selected ASEAN countries (namely Indonesia, Ma\-laysia, the Philippines, Singapore and Thailand) by employing the Autoregressive Distributed Lag (ARDL) bounds testing approach of cointegration. We don't find any evidence of a long-run relation\-ship, where we failed to reject the null hypothesis of no cointegra\-tion for all countries, even when the structural breaks were incor\-porated in the ARDL model. As opposed to much empirical work that found cointegration, we believe that the previous work as\-sumed the variables to be integrated of order one, due to the fact that it used conventional unit root tests that lack power in the presence of structural breaks, thus leading to a high probability of accepting a false null hypothesis. The paper then used the Toda- Yamamoto causality test to investigate the causality direction. The results show unidirectional causality from exchange rate to oil pric\-es in all countries except for Singapore where the causality goes from oil prices to exchange rate, with all results significant.
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참고문헌 (38)
참고문헌 신청
Akram Q.F. / 2004 / Oil prices and exchange rates: Norwegian experience / Econometrics Journal 7:476~504
Amano R. / 1998 / Oil prices and the rise and fall of the US real exchange rate / Journal of International Money and Finance 17(2):299~316
Benhmad, F. / 2012 / Modelling nonlinear Granger causality between the oil price and US dollar: A wavelet based approach / Economic Modelling 29(4):1505~1514
Brown, R.L. / 1975 / Techniques for testing the constancy of regression relationships over time / Journal of the Royal Statistical Society, Series B 37:149~192
Camarero, M. / 2002 / Oil price and Spanish competitiveness:A cointegrated panel analysis / Journal of Policy Modeling 24(6):591~605
Amano R. / 1998 / Oil prices and the rise and fall of the US real exchange rate / Journal of International Money and Finance 17(2):299~316
Benhmad, F. / 2012 / Modelling nonlinear Granger causality between the oil price and US dollar: A wavelet based approach / Economic Modelling 29(4):1505~1514
Brown, R.L. / 1975 / Techniques for testing the constancy of regression relationships over time / Journal of the Royal Statistical Society, Series B 37:149~192
Camarero, M. / 2002 / Oil price and Spanish competitiveness:A cointegrated panel analysis / Journal of Policy Modeling 24(6):591~605
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