Understanding the oil price-exchange rate nexus for the Fiji islands

Narayan, S, Narayan, P and Prasad, A 2008, 'Understanding the oil price-exchange rate nexus for the Fiji islands', Energy Economics, vol. 30, no. 5, pp. 2686-2696.


Document type: Journal Article
Collection: Journal Articles

Title Understanding the oil price-exchange rate nexus for the Fiji islands
Author(s) Narayan, S
Narayan, P
Prasad, A
Year 2008
Journal name Energy Economics
Volume number 30
Issue number 5
Start page 2686
End page 2696
Total pages 11
Publisher Elsevier
Abstract In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-à-vis the US dollar.
Subject Environment and Resource Economics
Keyword(s) Exchange rate
Oil Price
Volatility
LIARCH/EGARCH model
Fiji
Copyright notice © 2008 Elsevier B.V. All rights reserved.
ISSN 0140-9883
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