Exchange rate and oil price interactions in selected CEE countries

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according to the flexibility of exchange rate regimes in each country. A period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks–Panchenko test, while the causality in variance is checked with the Hafner–Herwartz test.