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Exchange rate and oil price interactions in selected CEE countries

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dc.abstract.enThis 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.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorDrachal, Krzysztof
dc.date.accessioned2024-01-25T00:06:21Z
dc.date.available2024-01-25T00:06:21Z
dc.date.issued2018
dc.description.financeNie dotyczy
dc.description.number2
dc.description.volume6
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/106681
dc.identifier.weblinkhttp://www.mdpi.com/2227-7099/6/2/31
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofEconomies
dc.relation.pagesID 31
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.titleExchange rate and oil price interactions in selected CEE countries
dc.typeJournalArticle
dspace.entity.typePublication