In contrast with the large literature that studies the interactions between the oil and the foreign exchange (FX) markets at the return level, this paper examines their relationship at the risk level. We employ the multivariate stochastic volatility (MSV) and the multivariate conditional...

The alternative specifications of the behavioural equilibrium exchange rate models (the BEERs) and their permanent counterparts (the PEERs) often deliver diverse estimates of the equilibrium exchange rate. In the case of the Czech koruna against the euro exchange rate, the discrepancy among the...

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...

This paper brings four new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP (HL) model is able to forecast real exchange rates better than the random walk (RW) model at both short and long-term horizons. Second, we find that this result holds if the...

Undoubtedly, oil prices play a crucial role in the macroeconomic performances of oil-exporting developing countries. In this regard, the exchange rate is one of the key macroeconomic indicators worthy of investigation. Existing literature shows that world oil prices play an important role in the...

This study investigated the impact of oil price shocks on the real exchange rate covering the last oil shocks from 2003 to 2009 in 12 oil exporting countries, namely Algeria, Bahrain, Egypt, Indonesia, Kuwait, Nigeria, Oman, Qatar, Saudi Arabia, Sudan, United Arab Emirates, and Venezuela. In...

Commodity-exporting countries have persistently high real interest rates and currency excess returns. To explain this fact, I adapt a classic idea: labor cost disease, or the Balassa-Samuelson effect. Commodity booms raise wages in exporter countries, and thus make local goods and services less...

This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural...

This paper addresses the purchasing power parity (PPP) puzzle for a commodity currency. In particular, we analyse the real exchange rate behaviour in Norway, which has a primary commodity (oil) that constitutes the majority of its exports. A substantial part of the literature on commodity...