经济
汇率
货币
货币经济学
利比里亚元
石油价格
分位数回归
折旧(经济)
美元指数
美元
计量经济学
财务
金融资本
经济增长
资本形成
人力资本
作者
Salah A. Nusair,Dennis Olson
标识
DOI:10.1016/j.eneco.2018.11.009
摘要
This paper investigates the effects of oil price shocks on Asian exchange rates. We employ quantile regression analysis and allow for structural breaks and asymmetry. Our results indicate that positive and negative oil price shocks have asymmetrical effects on exchange rate returns that vary in significance, size, and sign throughout the distribution of exchange rate returns. The impact of oil price shocks is also affected by market conditions (bearish and bullish currency markets). During bullish markets in domestic currencies, (at lower quantiles of currency movements in terms of U.S. dollar exchange rates), rising oil prices cause further appreciation for Indonesia, Korea, the Philippines, and Thailand currencies. During bearish markets in the domestic currencies (at higher quantiles of exchange rate movements in terms of U.S. dollar exchange rates), rising (falling) oil price causes further currency depreciation for Indonesia (Malaysia). Thus, currencies respond differently to oil price shocks under extreme bullish or bearish currency market conditions and the impact of rising or falling oil prices on foreign exchange markets can vary by country and market conditions.
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