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Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates: A Wavelet-based Panel Analysis
Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
Jönköping University, Sweden.
Jönköping University, Sweden.
2020 (English)In: Energy Journal, ISSN 0195-6574, E-ISSN 1944-9089, Vol. 41, no 6Article in journal (Refereed) Epub ahead of print
Abstract [en]

The objective of this paper is to re-examine the relationship between real oil prices and real effective exchange rates (REER) for major oil-exporting countries with floating exchange rates. We apply the wavelet-based principles of Gallegati et al. (2016) using monthly data for the period 1996 to 2015. In contrast to many previ-ous studies, our results support the theoretically expected positive nexus between the real oil prices and REER for our dataset. This (theoretically-expected) positive relationship is stronger at the larger time scales (that is, at the 4-8 and 8-16 month wavelet scales) compared to the smaller time scales (that is, at the 1-2 and 2-4 month wavelet scales). The findings of this study therefore add to the existing literature, since they disentangle the specific relationship between oil prices and exchange rates at different time scales, which has important policy implications.

Place, publisher, year, edition, pages
International Association for Energy Economics , 2020. Vol. 41, no 6
Keywords [en]
Oil prices, Commodity prices, Exchange rates, Time scales, Wavelet analysis
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-92478DOI: 10.5547/01956574.41.6.hkarOAI: oai:DiVA.org:lnu-92478DiVA, id: diva2:1410858
Available from: 2020-03-02 Created: 2020-03-02 Last updated: 2020-05-20

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Karlsson, Hyunjoo Kim

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