Vol. 7 No. 5 (2019): Business & Management Studies: An International Journal
Articles

ASYMMETRIC CAUSALITY TEST IN MEAN AND IN VARIANCE OF EXCHANGE RATE AND OIL PRICES

Mehmet Fatih BAYRAMOĞLU
Assoc. Prof. Dr., Zonguldak Bülent Ecevit University
Arzu TAY BAYRAMOĞLU
Assoc. Prof. Dr., Zonguldak Bulent Ecevit University
Mehmet Alper ERGÜN
Scientist

Published 2019-12-25

Keywords

  • Exchange Rate, Oil Price, Asymmetric Causality
  • Döviz Kuru, Petrol Fiyatı, Asimetrik Nedensellik

How to Cite

BAYRAMOĞLU, M. F., TAY BAYRAMOĞLU, A., & ERGÜN, M. A. (2019). ASYMMETRIC CAUSALITY TEST IN MEAN AND IN VARIANCE OF EXCHANGE RATE AND OIL PRICES. Business &Amp; Management Studies: An International Journal, 7(5), 2112–2123. https://doi.org/10.15295/bmij.v7i5.1319

Abstract

In this study, the causality relationship between Euro / Dollar exchange rate and oil prices was analyzed by causality tests on average and variance. According to the Toda-Yamamoto causality test based on Bootstrap developed by Hacker-Hatemi-J (2006), there is no linear causality between exchange rate and oil price. According to the Hatemi-J (2012) asymmetric causality test findings, causality was determined from negative shocks in oil prices to positive shocks in exchange rates, and from positive shocks in exchange rate to negative shocks in oil prices. Thus, it is concluded that the oil price and Euro/dollar exchange rate move asymmetrically opposite direction. The Hafner-Herwartz variance causality test findings, which examine the causality between exchange rate variance and oil price variance, point to causality from volatility in oil price to volatility in Euro / Dollar exchange rate.

Downloads

Download data is not yet available.

References

  1. Adıgüzel, U., Kayhan, S., & Bayat, T. (2016). Petrol Fiyatları ve Döviz Kuru Arasındaki İlişkinin Ampirik Analizi: Asimetrik Nedensellik Analizi. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 17(2), 241-252.
  2. BIS (Bank for International Settlements) (2019). Triennial Centrel Bank Survey – Foreign Exchange turnover in April 2019. Monetary and Economic Department, https://www.bis.org/statistics/rpfx19_fx.pdf, (Erişim Tarihi: 25.09.2019).
  3. Brahmasrene, T., Huang, J. C., & Sissoko, Y. (2014). Crude oil prices and exchange rates: Causality, variance decomposition and impulse response. Energy Economics, 44, 407-412.
  4. Buberkoku, O. (2017). ABD Dolarının Emtia Fiyatları Üzerindeki Etkisinin İncelenmesi. Ege Academic Review, 17(3), 323-336.
  5. Cheng, T. Y., Weng, Y. C., & Syu, S. M. (2015). The asymmetric causal relationship research of electricity price, exchange rate and oil price-takes Taiwan area as an example. Journal of Statistics and Management Systems, 18(5), 463-484.
  6. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
  7. Granger C. W. J. (1969). Investigatıng Causal Relations By Econometric Models And Cross-Spectral Methods. Econometrica, 37(3),424-438.
  8. Granger, C. W., & Yoon, G. (2002). Hidden cointegration. U of California, Economics Working Paper, (2002-02).
  9. Hacker, R. S., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38(13), 1489-1500.
  10. Hafner, C.M. & Herwartz, H.,“A Lagrange Multiplier Test for Causality in Variance”, Economics Letters. 2006, 93 (1): 137-141.
  11. Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456.
  12. Mo, B., Nie, H., & Jiang, Y. (2018). Dynamic linkages among the gold market, US dollar and crude oil market. Physica A: Statistical Mechanics and its Applications, 491, 984-994.
  13. Pata, U. K. (2018).Türkiye’de Enflasyon, Tasarruf ve Ekonomik Büyüme Arasındaki İlişkilerin Simetrik ve Asimetrik Nedensellik Testleri ile Analizi. Maliye Dergisi, 174, 92-111
  14. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  15. Reboredo, J. C. (2012). Modelling oil price and exchange rate co-movements. Journal of Policy Modeling, 34(3), 419-440.
  16. Tiwari, A. K., Mutascu, M. I., & Albulescu, C. T. (2013). The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework. Energy Economics, 40, 714-733.
  17. Toda, H.Y. ve T.Yamamoto, (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Econometrics, 66, 225-250.
  18. Wen, F., Xiao, J., Huang, C., & Xia, X. (2018). Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility. Applied Economics, 50(3), 319-334.