Understanding the Oil Price-Exchange Rate Nexus for the Fiji Islands

Posted: 3 Jun 2012

See all articles by Paresh Kumar Narayan

Paresh Kumar Narayan

Deakin University - School of Accounting, Economics and Finance

Seema Narayan

affiliation not provided to SSRN

Arti Prasad

affiliation not provided to SSRN

Date Written: March 10, 2008

Abstract

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-à-vis the US dollar.

Keywords: Exchange rate, Oil price, Volatility, GARCH/EGARCH model, Fiji

JEL Classification: E44, G14, G15

Suggested Citation

Narayan, Paresh Kumar and Narayan, Seema and Prasad, Arti, Understanding the Oil Price-Exchange Rate Nexus for the Fiji Islands (March 10, 2008). Energy Economics, Vol. 30, No. 2686 - 2696, 2008, Available at SSRN: https://ssrn.com/abstract=2073277

Paresh Kumar Narayan (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Seema Narayan

affiliation not provided to SSRN ( email )

Arti Prasad

affiliation not provided to SSRN ( email )

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