Understanding the oil price-exchange rate nexus for the Fiji islands
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-a-vis the US dollar.
Year of publication: |
2008
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Authors: | Narayan, Paresh Kumar ; Narayan, Seema ; Prasad, Arti |
Published in: |
Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 30.2008, 5, p. 2686-2696
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Publisher: |
Elsevier |
Saved in:
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