Exchange rate and oil price interactions in selected CEE countries

Krzysztof Drachal

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.

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Year of publication:	March 2018
Authors:	Drachal, Krzysztof
Published in:	Economies : open access journal. - Basel : MDPI, ISSN 2227-7099, ZDB-ID 2704214-5. - Vol. 6.2018, 2, p. 1-21
Subject:	causality \| exchange rates \| non-linear causality \| oil price \| stock prices \| volatility spillover \| Ölpreis \| Oil price \| Volatilität \| Volatility \| Wechselkurs \| Exchange rate \| Kausalanalyse \| Causality analysis \| Börsenkurs \| Share price \| Spillover-Effekt \| Spillover effect \| Osteuropa \| Eastern Europe \| ARCH-Modell \| ARCH model

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/economies6020031 [DOI] hdl:10419/197083 [Handle]
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation ; F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011854772