Crude oil price-exchange rate nexus in Pakistan

Financial Statistical Journal

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Field Value
 
Title Crude oil price-exchange rate nexus in Pakistan
 
Creator Iqbal, Farhat
Raziq, Abdul
 
Subject APARCH; exchange rate; oil price; volatility clustering.
 
Description This paper studies the association between price of crude oil and the Pakistani Rupee-US Dollar exchange. Asymmetric power autoregressive conditional heteroscedastic (APARCH) model is used to measure the influence of oil price on the nominal exchange rate using daily data of extreme oil price volatility (2006 – 2013). This model is found to fit the data well and the results reveal a high degree of volatility persistence and leverage effect in returns. This study also establishes a positive association between currency exchange rate and oil price. These findings provide insight into the transmission link between the global oil market and exchange rate.
 
Publisher EnPress Publisher LLC
 
Contributor
 
Date 2018-09-05
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://systems.enpress-publisher.com/index.php/FSJ/article/view/738
10.24294/fsj.v1i2.738
 
Source Financial Statistical Journal; Vol 1, No 2 (Published)
2578-1960
10.24294/fsj.v1i2
 
Language eng
 
Relation https://systems.enpress-publisher.com/index.php/FSJ/article/view/738/599
https://systems.enpress-publisher.com/index.php/FSJ/article/downloadSuppFile/738/224
 
Rights Copyright (c) 2018 Financial Statistical Journal
http://creativecommons.org/licenses/by-nc/4.0
 

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