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Do Fluctuations in Crude Oil Prices Have Symmetric or Asymmetric Effects on the Real Exchange Rate? Empirical Evidence from Indonesia
| Content Provider | Semantic Scholar |
|---|---|
| Author | Baek, Jungho Choi, Yoon Jung |
| Copyright Year | 2018 |
| Abstract | Current research on the oil price impacts on exchange rates typically relies on the assumption that fluctuations in crude oil prices have symmetric impacts on a country’s real exchange rate. Thus, the contribution of the paper is to use the nonlinear autoregressive distributed lag (ARDL) method of Shin et al. (2014) and examine whether crude oil prices are asymmetrically passed on to the real exchange rate in the case of Indonesia. We uncover that oil price changes indeed asymmetrically affect the Indonesian rupiah in the long-run; that is, the movement in the Indonesian rupiah appears to be more responsive to rising oil prices than to declining oil prices. In the short-run, however, the asymmetry of oil price changes is not observed. JEL Classification: C22, F31, Q43 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.usaee.org/usaee2018/submissions/OnlineProceedings/Paper(USAEEIAEE).pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
