Understanding the oil price-exchange rate nexus for the Fiji Islands

Narayan, Paresh Kumar, Narayan, Seema and Prasad, Arti 2008, Understanding the oil price-exchange rate nexus for the Fiji Islands, Energy economics, vol. 30, no. 5, pp. 2686-2696.

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Title Understanding the oil price-exchange rate nexus for the Fiji Islands
Author(s) Narayan, Paresh Kumar
Narayan, Seema
Prasad, Arti
Journal name Energy economics
Volume number 30
Issue number 5
Start page 2686
End page 2696
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2008-09
ISSN 0140-9883
1873-6181
Keyword(s) exchange rate
oil price
Volatility
GARCH/EGARCH model
Fiji
Summary 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.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2008
Copyright notice ©2008, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30017303

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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