Oil Prices and Emerging Market Exchange Rates

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Turhan I., Hacihasanoglu E., SOYTAŞ U.

EMERGING MARKETS FINANCE AND TRADE, cilt.49, ss.21-36, 2013 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 49
  • Basım Tarihi: 2013
  • Doi Numarası: 10.2753/ree1540-496x4901s102
  • Dergi Adı: EMERGING MARKETS FINANCE AND TRADE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.21-36
  • Anahtar Kelimeler: emerging market exchange rates, financial crisis, oil prices, HETEROSKEDASTICITY, TESTS
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

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 prices leads to significant appreciation of emerging economies' currencies against the U.S. dollar. The authors divide daily returns from January 3, 2003, to June 2, 2010, into three subsamples and test the impact of changes in oil prices on exchange rate movements, generalizing impulse response functions to track the dynamic response of each exchange rate in three different time periods. Their findings suggest that oil price dynamics changed significantly in the sample period and the relationship between oil prices and exchange rates became more obvious after the 2008 financial crisis.