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The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters
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Economies 2018, 6(2), 31; https://doi.org/10.3390/economies6020031

Exchange Rate and Oil Price Interactions in Selected CEE Countries

Faculty of Economic Sciences, University of Warsaw, 00-241 Warsaw, Poland
Received: 5 November 2017 / Revised: 23 April 2018 / Accepted: 4 May 2018 / Published: 14 May 2018
(This article belongs to the Special Issue Falling Oil Prices: Economic and Financial Implications)
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Abstract

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according to the flexibility of exchange rate regimes in each country. A period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks–Panchenko test, while the causality in variance is checked with the Hafner–Herwartz test. View Full-Text
Keywords: causality; exchange rates; non-linear causality; oil price; stock prices; volatility spillover causality; exchange rates; non-linear causality; oil price; stock prices; volatility spillover
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Drachal, K. Exchange Rate and Oil Price Interactions in Selected CEE Countries. Economies 2018, 6, 31.

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