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A new look at the oil price-exchange rate nexus: Asymmetric evidence from selected OPEC member countries
Economic Analysis and Policy ( IF 4.444 ) Pub Date : 2021-02-24 , DOI: 10.1016/j.eap.2021.02.008
Jungho Baek

In the present article, we contribute to the literature by applying a nonlinear autoregressive distributed lag (NARDL) method by Shin et al. (2014) to assess whether oil price fluctuations asymmetrically influence real exchange rates for oil-exporting countries, specifically selected six OPEC member countries. We discover that the price of crude oil seems to have an asymmetric effect on real exchange rates for the OPEC members with a floating exchange rate regime in both the long-and short-run. However, there is no evidence of the oil price asymmetry for the OPEC members with a fixed exchange rate regime in the long- and short-run. Thus, we conclude that asymmetry impacts appear to vary depending on the different types of exchange rate regimes in each of OPEC members.



中文翻译:

石油价格汇率联系的新视角:某些欧佩克成员国的不对称证据

在本文中,我们通过应用Shin等人的非线性自回归分布滞后(NARDL)方法为文献做出了贡献。(2014年)评估石油价格波动是否非对称地影响了石油输出国(特别选择了六个欧佩克成员国)的实际汇率。我们发现,从长期和短期来看,采用浮动汇率制度的欧佩克成员国,原油价格似乎对实际汇率具有不对称影响。但是,没有证据表明长期和短期内具有固定汇率制度的欧佩克成员国的石油价格不对称。因此,我们得出的结论是,不对称性影响似乎会根据每个欧佩克成员国中不同的汇率制度类型而有所不同。

更新日期:2021-03-01
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