Understanding the Oil Price-Exchange Rate Nexus for the Fiji Islands
Posted: 3 Jun 2012
Date Written: March 10, 2008
Abstract
In this paper,we examine the relationship between oil price and the Fiji–US exchange rate using daily data for the period 2000–2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-à-vis the US dollar.
Keywords: Exchange rate, Oil price, Volatility, GARCH/EGARCH model, Fiji
JEL Classification: E44, G14, G15
Suggested Citation: Suggested Citation
Narayan, Paresh Kumar and Narayan, Seema and Prasad, Arti, Understanding the Oil Price-Exchange Rate Nexus for the Fiji Islands (March 10, 2008). Energy Economics, Vol. 30, No. 2686 - 2696, 2008, Available at SSRN: https://ssrn.com/abstract=2073277
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