Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models

Authors

  • La Ode Saidi Department of Mathematics, Universitas Halu Oleo
  • Hasan Aedy Department of Economics, Universitas Halu Oleo
  • Fajar Saranani Department of Economics, Universitas Halu Oleo
  • Rosnawintang Rosnawintang Departmen of Economics, Universitas Halu Oleo
  • Pasrun Adam Department of Mathematics, Universitas Halu Oleo
  • La Ode Arsad Sani Department of Animal Science, Universitas Halu Oleo

Abstract

This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of WTI crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the NARDL-GARCH-M model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.

Keywords:  Crude oil prices, exchange rates, volatility, NARDL model, GARCH-M model

JEL Classifications: C120, C320, E310, G150

DOI: https://doi.org/10.32479/ijeep.8362

Downloads

Download data is not yet available.

Downloads

Published

2019-11-13

How to Cite

Saidi, L. O., Aedy, H., Saranani, F., Rosnawintang, R., Adam, P., & Sani, L. O. A. (2019). Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models. International Journal of Energy Economics and Policy, 10(1), 104–108. Retrieved from https://www.econjournals.com/index.php/ijeep/article/view/8362

Issue

Section

Articles

Most read articles by the same author(s)

1 2 > >>