期刊名称：Research Journal of Politics, Economics and Management
印刷版ISSN：2147-7035
电子版ISSN：2147-6071
出版年度：2013
期号：155
页码：25
出版社：Sakarya University, Faculty of Economics and Administrative Sciences
摘要：This study investigates causal dynamics between crude oil prices and exchange rates in Brazil, India and Turkey by employing monthly data from the beginning of floating exchange regime to July 2011. The study benefits from the recent developments in the time series econometric analysis and carries out time domain causality tests (linear causality, non-linear causality, volatility spillover) and frequency domain causality test. Findings show that results from frequency domain causality test are slightly different from than those from time domain causality methods. The frequency domain analysis provides evidence on bi-directional causality in India and uni-directional causality from real exchange rates to real oil price in Turkey and Brazil.
