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Oil prices, exchange rates and interest rates
Kilian, Lutz; Zhou, Xiaoqing - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10011966739
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Oil prices, exchange rates and interest rates
Kilian, Lutz; Zhou, Xiaoqing - 2019 - This version: November 8, 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012230400
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Exchange rate determination in Nigeria : testing the monetary theory in the presence of asymmetries
Tumala, Mohammed Musa; Atoi, Ngozi Victor; Karimo, Tari … - In: West African journal of monetary and economic integration 21 (2021) 2, pp. 65-87
policy rate, and inflation rate in Nigeria relative to the US. The study utilizes monthly data from 2010:M1 to 2019:M12. By … adjusts asymmetrically to relative money supply, real income, and inflation. However, the adjustment to relative money supply …. The study provides evidence that exchange rate adjustment is asymmetric only to changes in inflation in the short run …
Persistent link: https://www.econbiz.de/10014288471
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Impact of interest rate differential and exchange rate movement on the dynamics of Nigeria's international private capital flows
Karimo, Tari M. - In: CBN journal of applied statistics 11 (2020) 2, pp. 29-63
The study examines the impact of interest rate differential and exchange rate move-ment on the dynamics of Nigeria's international private capital flows from 2010Q1to 2019Q4. It uses the interest rate parity theory and the Markov Switching TimeVarying Transition Probability Modelling approach....
Persistent link: https://www.econbiz.de/10012513274
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Why crises happen : nonstationary macroeconomics
Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008758527
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The real exchange rate, real interest rates, and the risk premium
Engel, Charles - 2011
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real...
Persistent link: https://www.econbiz.de/10009686193
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Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model
Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7
South African government bond yield, US real GDP, the US stock price and the South African inflation rate and negatively … influenced by the 10-year US government bond yield, South African real GDP, the South African stock price, and the US inflation …
Persistent link: https://www.econbiz.de/10011450559
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Foreign Portfolio Investment in India and Plausible Exchange Rate and Interest Rate Regimes : Policy Options Open to the RBI
Lahiri, Hiranya - 2014
In order to protect the export and the import-competing sector of the economy, RBI often intervenes in the foreign-exchange market. Also, through daily operation of Liquidity Adjustment Facility (LAF), RBI regulates the interest rate. In this theoretical paper, I access the impact of...
Persistent link: https://www.econbiz.de/10013065965
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Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012892101
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How Does Information Affect the Comovement between Interest Rates and Exchange Rates?
Sanchez, Marcelo - 2021
This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...
Persistent link: https://www.econbiz.de/10013317653