The purpose of this paper is to assess the empirical influence of oil prices on the real effective exchange rate in Romania in a wavelet transform framework. More precisely, we investigate to what extent oil prices impact the real effective exchange rate in an Eastern European transition...

Oil price prediction has usually proved to be an intractable task due to the intrinsic complexity of oil market mechanism. In addition, the recent oil shock and its consequences relaunch the debate on understanding the behavior underlying the expected oil prices. Combining the dynamic properties...

In this paper we develop a two regime Markov-switching EGARCH model introduced by Henry [Henry, O., 2009. Regime switching in the relationship between equity returns and short-term interest rates. Journal of Banking and Finance 33, 405-414.] to examine the relationship between crude oil shocks...