Oil Prices and Emerging Market Exchange Rates

By I. Turhan, E. Hacihasanoglu, Ugur Soytas. 2013

155 citations recorded by the source corpus.

This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries' exchange rates. Using daily data series, the study concludes that a rise in oil prices leads to significant appreciation of emerging economies' currencies against the U.S. dollar. The authors divide daily returns from January 3, 2003, to June 2, 2010, into three subsamples and test the impact of changes in oil prices on exchange rate movements, generalizing impulse response functions to track the dynamic response of each exchange rate in three different time periods. Their findings suggest that oil price dynamics changed significantly in the sample period and the relationship between oil prices and exchange rates became more obvious after the 2008 financial crisis.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/ea818be2820c4370742acbd86ee04dd707bc9d6b

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Citations in the corpus

The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework (2013, unknown): “The role of oil prices in explaining exchange rate movements was emphasised early in the literature by Golub (1983) and Krugman (1983), and more recently by Reboredo (2012) and Turhan et al. (2013).”
Oil prices and financial stress: A volatility spillover analysis (2015, background): “This is in line with Turhan et al. (2013) findings for exchange rates and oil prices.”