@article{Saidi_Aedy_Saranani_Rosnawintang_Adam_Sani_2019, title={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}, volume={10}, url={https://www.econjournals.com/index.php/ijeep/article/view/8362}, abstractNote={<p>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.</p><p><strong>Keywords:</strong>  Crude oil prices, exchange rates, volatility, NARDL model, GARCH-M model</p><p><strong>JEL Classifications: </strong>C120, C320, E310, G150</p><p>DOI: <a href="https://doi.org/10.32479/ijeep.8362">https://doi.org/10.32479/ijeep.8362</a></p>}, number={1}, journal={International Journal of Energy Economics and Policy}, author={Saidi, La Ode and Aedy, Hasan and Saranani, Fajar and Rosnawintang, Rosnawintang and Adam, Pasrun and Sani, La Ode Arsad}, year={2019}, month={Nov.}, pages={104–108} }