文章基本信息

标题：Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models
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作者：La Ode Saidi ; Hasan Aedy ; Fajar Saranani 等
期刊名称：International Journal of Energy Economics and Policy
电子版ISSN：2146-4553
出版年度：2019
卷号：10
期号：1
页码：104-108
DOI：10.32479/ijeep.8362
出版社：EconJournals
摘要：This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of West Texas Intermediate (WTI) crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the non linear autoregressive distributed lag - general autoregressive conditional heterochedasticity in mean model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist..
其他摘要：This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of WTI crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the NARDL-GARCH-M model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.
关键词：Crude Oil Prices; Exchange Rates; Volatility; Non Linear Autoregressive Distributed Lag Model; General Autoregressive Conditional
其他关键词：Crude oil prices; exchange rates; volatility; NARDL model; GARCH-M model