The Effects of Oil Price on Asia – Pacific Exchange Rates: Evidence from Quantile Regression Analysis

International Journal of Advanced Science and Technology, 29 (8s), 2020

Posted: 4 Nov 2020

See all articles by Amirdha Vasani Sankarkumar

Amirdha Vasani Sankarkumar

Bharathidasan University

Murugesan Selvam

Department of Commerce and Financial Studies, Bharathidasan University

Indhumathi Gunasekaran

Mother Teresa Women's University

Marxia Oli Sigo

National Institute of Technology Sikkim

Dhanasekar Dhamotharan

Department of Commerce and Financial Studies, Bharathidasan University

Multiple version iconThere are 2 versions of this paper

Date Written: July 2, 2020

Abstract

An attempt has been made in this paper, to investigate the effect of oil prices on the exchange rate of 13 Asia – Pacific sample countries against USD, for the period from 04th January 2000 to 31st March 2020. OLS and QR Models were adopted for the analysis. Japanese Yen and Hong Kong Dollar were not affected by the oil prices during the study period. Sample currencies responded differently to oil price shocks under current market conditions. The results of this study would be useful to the policymakers, in the context of variations of oil and currency markets.

Keywords: Oil Price, Exchange Rate, Quantile Regression

JEL Classification: G1, G2

Suggested Citation

Sankarkumar, Amirdha Vasani and Selvam, Murugesan and Gunasekaran, Indhumathi and Sigo, Marxia Oli and Dhamotharan, Dhanasekar, The Effects of Oil Price on Asia – Pacific Exchange Rates: Evidence from Quantile Regression Analysis (July 2, 2020). International Journal of Advanced Science and Technology, 29 (8s), 2020, Available at SSRN: https://ssrn.com/abstract=3641576

Amirdha Vasani Sankarkumar (Contact Author)

Bharathidasan University ( email )

Tiruchirappalli
Tamil Nadu
India

Murugesan Selvam

Department of Commerce and Financial Studies, Bharathidasan University ( email )

Tiruchirappalli
Tamil Nadu
India

Indhumathi Gunasekaran

Mother Teresa Women's University ( email )

Department of Commerce
Mother Teresa Women's University
Kodaikanal, TN Tamil Nadu 624 102
India
9884434722 (Phone)

Marxia Oli Sigo

National Institute of Technology Sikkim ( email )

Sikkim
India

Dhanasekar Dhamotharan

Department of Commerce and Financial Studies, Bharathidasan University ( email )

Tiruchirappalli
Tamil Nadu
India

HOME PAGE: http://www.bdu.ac.in/

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