Date of Award

6-2020

Degree Type

Doctoral Dissertation

Degree Name

Doctor of Business Administration (DBA)

Department

Jack Welch College of Business

Comments

Submitted in partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business and Technology Fairfield, Connecticut.

Dissertation Supervisor

Dr. Khawaja Mamun

Committee Member

Dr. Alan DelFavero

Committee Member

Dr. Xin (Shane) Gao

Abstract

Using daily data obtained from Federal Reserve Bank of St. Louis database, we convert oil price and exchange rates to first difference logarithm to examine the link between oil price and exchange rates. We apply Johansen Cointegration models to examine relationship between the series, and our results indicate the variables are not cointegrated. Augmented Dicky Fuller test indicates that the series are nonstationary at level, but stationary at first difference. Impulse response analysis based on unrestricted vector autoregressive (VAR) yields varying results for the relationship between oil price and exchange rates across the currencies of the four countries considered. Thus, we suggest that decision making regarding oil price and exchange rate dynamics must be considered based on a country’s unique features rather than on a universal platform.

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.


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