Do Oil Price Returns Impact Exchange Rates Fluctuations: Evidence from the Top Four Oil Importing Countries in Asia – China, India, Japan and South Korea
Date of Award
Doctor of Business Administration (DBA)
Jack Welch College of Business
Dr. Khawaja Mamun
Dr. Alan DelFavero
Dr. Xin (Shane) Gao
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.
Nti, A. (2020). Do oil price returns impact exchange rates fluctuations: Evidence from the top four oil importing countries in Asia – China, India, Japan and South Korea. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/30/
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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.