Narayan, Seema - In: Journal of Asian Economics 28 (2013) C, pp. 41-50
In this paper, we examine whether oil price can predict exchange rate returns for 14 Asian countries. A new GLS-based time series predictive regression model proposed by Westerlund and Narayan (WN, 2012) is used. The main finding is that higher oil price leads to future depreciation of the...