ASYMMETRIC RELATIONSHIP BETWEEN OIL PRICE AND EXCHANGE RATE: THE CASE OF ROMANIA

Öz

The fragile structure of the global economy in the last decades makes it necessary for policy makers to have consistent predictions on the future values of the commodities and assets and also exchange rates. The fact that it is still the biggest source of energy, oil, has a crucial importance for the real economy and even financial markets. In this study, the relation of the real oil price and the real exchange rate in Romania will be investigated for the period of 2004:4 to 2014:10 using monthly data. Results in the tests suggest that Romania should consider the real oil price and real exchange rate causality due to the fact that there is a significant causality between the variables.

Anahtar Kelimeler

• Oil Prices,Exchange Rate,Romania,Asymmetric Causality

Petrol Fiyatları ve Döviz Kuru Arasındaki Nedenselliğin Araştırılması, Romanya Örneği

Öz

Global ekonomi sözlüğünde kırılganlık terimi sıkça karşılaşılan bir terim olagelmiştir. Bu da politika yapıcılar için önemli bir husustur. Enerji üretim için çok önemli bir girdi konumundadır ve bu girdi hala büyük ölçüde petrolden karşılanmaktadır. Bu çalışmada petrol fiyatları ve döviz kuru ilişkisi Romanya için irdelenmiştir. Bu çalışmanın veri aralığı 2004:4 ve 2014:10 tarih aralığındadır. Araştırmanın sonucu Romanya için petrol fiyatları ve döviz kuru arasında anlamlı bir ilişiki olduğunu göstermektedir.

Anahtar Kelimeler

• Petrol Fiyatları,Döviz Kuru,Romanya,Asimetrik Nedensellik

Kaynakça

1. Ahmad, A.H., Hernandez, R.M., 2013. Asymmetric adjustment between oil prices and exchange rates: empirical evidence frommajor oil producers and consumers. Journal of International Financial Markets Institutions & Money 27, 306–317.
2. Akram, Q.F., 2009. Commodity prices, interest rates and the dollar. Energy Economics 31, 838–851.
3. Aloui, R., Ben Aissa, M.S., Nguyen, D.K., 2013. Conditional dependence structure between oil prices and exchange rates: acopula-GARCH approach, Journal of International Money and Finance 32, 719–738.
4. Askari, H., Krichene, N., 2010. An oil demand and supply model incorporating monetary policy. Energy 35, 2013–2021.
5. Ayadi, F. O., 2005. Oil price fluctuations and the Nigerian economy. OPEC Review, 29, 199–217.
6. Aziz, M., Bakar, N., 2011. Oil Price & Exchange Rate: A Comparative Study between Net Oil Exporting and Net Oil Importing Countries, European Journal of Economics, Finance and Administrative Sciences ISSN 1450-2275 Issue 42, 13-29
7. Balcılar, M., Z. A. Özdemir, and Y. Arslantürk 2010. Economic growth and energy consumption causal nexusa viewed through a bootstrap rolling window, Energy Economics, 32, 1398-1410
8. Balcılar M., Hammoudeh, S., Asaba, N., 2015. A Regime-Dependent Assessment Of The Information Transmission Dynamics Between Oil Prices, Precious Metal Prices And Exchange Rates, International Review Of Economics And Finance.

9. Benassy-Quere, A., Mignon, V., Penot, A., 2007. China and the relationship between the oil price and the dollar. Energy Policy35, 5795–5805.
10. Brahmasrene, T., Huang, J., Sissoko, Y. 2014. Crude oil prices and exchange rates: Causality, variance decomposition and impulse response, Energy Economics, 44, 407-412.
11. Blomberg, S.B., Harris, E.S., 1995. The Commodity-Consumer Price Connection: Fact Or Fable?. Federal Reserve Board of New YorkEconomic Policy Review 1, 21–38.
12. Chaudhuri, K., & Daniel, B. C. 1998. Long-run equilibrium real exchange rates and oil prices. Economics Letters, 58, 231–238.
13. Chen, S.S., Chen, H.C., 2007. Oil Prices and Real Exchange Rates. Energy Economics 29, 390–404.
14. Ciner, Çetin. 2011. Eurocurrency interest Rate Linkages: A Frequency Domain Analysis, International Review of Economics and Finance, 20, 498-505.
15. Dickey, David and Wayne Fuller. 1979. Distribution Of The Estimators For Autoregressive Time Series With A Unit Root, Journal of The American Statistical Association, 74, ss:427- 431.
16. Dickey, David and Wayne Fuller. 1981. “Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root” Econometrica, 49, ss:1057-72.
17. Dinga, L., Vo, M., 2012. Exchange rates and oil prices: A multivariate stochastic volatility analysis, The Quarterly Review of Economics and Finance, 15-37.
18. Domenico F., Kenneth R. and Barbara R. 2015. Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates, Journal of International Money and Finance 54, 116-141.
19. Efron, Brad. 1979. Bootstrap Methods: Another Look At The Jackknife, Annuals of Statistics, 7, 1-26.
20. Geweke, John. 1982. Measurement of linear dependence and feedback between multiple time series, Journal of The American Statistical Association, 77, 304-313.
21. Ghosh, S., 2011. Examining crude oil price-exchange rate nexus for India during the period of extreme oil price volatility. AppliedEnergy 88, 1886–1889.
22. Golub, S., 1983. Oil prices and exchange rates. Economics Journal 93, 576–593.
23. Hacker, Scott and Abdulnasser Hatemi-J. 2005. A test for multivariate ARCH effects, Applied Economics Letters, 12 (7), 411-417.
24. Hacker, Scott and Abdulnasser Hatemi-J. 2006. Tests for Causality Between Integrated Variables Based on Asymptotic and Bootstrap Distributions: Theory and Application, Applied Economics, 38(13), 1489-1500
25. Hatemi-J, 2003. A new method to choose optimal lag order in stable and unstable VAR models. Applied Economic Letter 10(3):135–137
26. Hatemi-J, 2008. Forecasting properties of a new method to choose optimal lag order in stable and unstable VAR models. Applied Economic Letter 15(4):239–243
27. Hatemi-J, 2012. Asymmetric causality test with an application, Empirical Econ, 43:447-456
28. Hatemi-J, Abdulnasser. 2005. Bootstrap-corrected tests for causality: theory and applications in finance, Invited Key-speaker Presentation at II Simposio Nacional De Docentes En Finanzas, July 1315, Bogota.
29. Hatemi-J, Abdulnasser and Eduardo Roca. 2007. Equity Market price Interdependence Based on Bootstrap Causality Tests: Evidence from Australia and its major trading Partners, Applied Financial Economics, 17(10), 827-835
30. Hatemi-J, Abdulnasser and Bryan Morgan. 2009. An Emprical Analysis of the Informational Efficiency of Australian Equity Markets, Journal of Economic Studies, 26(5), 437-445
31. Hatemi-J, Roca, E. 2014. Brics And PIGS In The Presence Of Uncle Sam And Big Brothers: Who Drive Who? Evidence Based On Asymmetric Causality Tests, Griffith Business School Discussion Papers Finance, ISSSN:1836-8123
32. Hosoya, Yuzo. 1991. The Decomposition And Measurement Of The Interdependence Between Second-Order Stationary Process, Probability Theory and Related Fields, 88, 429-444.
33. Huang, Y., Guo, F., 2007. The role of oil price shocks on China’s real exchange rate. China Economic Review 18, 403–416.
34. Jain. A., Ghosh, S., 2013. Dynamics Of Global Oil Prices, Exchange Rate And Precious Metal Prices In India, Resources Policy, 88-93.
35. Jammazi, R., Lahiani, A., Nyugen, D.K., 2015 A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices. Journal of International Financial Markets, Institutions & Money, 34, 173-187.
36. Ji, Q., Fan, Y., 2012. How does oil price volatility affect non-energy commodity markets? Applied Energy 89, 273–280.
37. Krichene, N. 2005. A Simultaneous Equations Model For World Crude Oil And Natural Gas Markets. IMF Working Paper.
38. Koutris, A., Heracleous, M.S., Spanos, A., 2008. Testing for nonstationarity using maximumentropy resampling: amisspecification testing perspective. Econometric Reviews 27, 363–384.
39. Krugman, P., 1983. Oil and the dollar. In: Bhandari, J.S., Putnam, B.H. (Eds.), Economic Interdependence and Flexible ExchangeRates. Cambridge University Press, Cambridge.
40. Krugman, P. R. 1984. Oil shocks and exchange rate dynamics. In J. A. Frankel (Ed.), Exchange Rates and International Macroeconomics. University of Chicago Press.
41. Kwiatkowski, Dennis, Peter Phillips, Peter Schmidt and Youngcheol Shin. 1992. Testing The Null Hypothesis of Stationarity Against The Alternative of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?, Journal Of Econometrics, 54(1-3), ss:159-178.
42. Lizardo, R.A., Mollick, A.V., 2010. Oil price fluctuations and US dollar exchange rates. Energy Economics 32, 399–408.
43. Lutkepohl H 2005. New introduction to multiple time series analysis. SprinROPr, Berlin
44. MacKinnon, James. 1996. Numerical Distribution Functions For Unit Root and Cointegration Tests, Journal of Applied Econometrics, 11, ss:601–618.
45. Nakajimaa, T., Hamorib, S., 2012. Causality-In-Mean And Causality-In-Variance Among Electricity Prices, Crude Oil Prices, And Yen–US Dollar Exchange Rates In Japan, Research In International Business And Finance, 371-386.
46. Narayan, P.K., Narayan, S., Prasad, A., 2008. Understanding the oil price-exchange rate nexus for the Fiji islands. Energy Economics30, 2686–2696.
47. Phillips, Peter and Pierre Perron. 1988. Testing For A Unit Root in Time Series Regressions, Biometrica, 75(2), ss:335-346.
48. Raurava, J., 2004. The role of oil prices and the real exchange rate in Russia’s economy – a cointegration approach. Journal ofComparative Economics 32, 315–327.
49. Reboredo, J., Castro, M., 2013. A wavelet decomposition approach to crude oil price and exchange rate dependence, Economic Modelling, 32, 42-57.
50. Shukur, G. ve P. Mantalos, P 2000, A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems’, Journal of Applied Statistics 27, 1021–1031.
51. Toda, Hiro and Taku Yamamoto. 1995. “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes” Journal of Econometrics, 66, 225-250.
52. Turhan, M.I., Sensoy, A., Hacihasanoglu, E., 2014. A comparative analysis of the dynamic relationship between oil prices and exchange rates, International Financial Markets, Institutions & Money,32, 397-414.
53. Yousefi, A., Wirjanto, T.S., 2004. The empirical role of the exchange rate on the crude-oil price formation. Energy Economics 26,783–799.
54. Zapata, Hector and Alicia Rambaldi. 1997. Monte Carlo Evidence on Cointegration and Causation, Oxford Bulletin of Economics and Statistics, 59, 285-298
55. Zhang, Y. J., Fan, Y., Tsai, H. T., & Wei, Y. M. 2008. Spillover effect of US dollar exchange rate on oil prices. Journal of Policy Modeling, 30, 973–991.
56. Zhang, Y., 2013. The Links between the Price of Oil and the Value of US Dollar, International Journal of Energy Economics and Policy, 4, 341-351.