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Media type:
E-Article
Title:
Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia
Contributor:
Baek, Jungho;
Choi, Yoon Jung
Published:
Wiley, 2021
Published in:
The World Economy, 44 (2021) 1, Seite 312-325
Language:
English
DOI:
10.1111/twec.12987
ISSN:
0378-5920;
1467-9701
Origination:
Footnote:
Description:
AbstractCurrent research on the oil price impacts on exchange rates typically relies on the assumption that fluctuations in crude oil prices have symmetric impacts on a country's real exchange rate. Thus, the contribution of the paper is to use the non‐linear autoregressive distributed lag (ARDL) method of Shin, Yu, and Greenwood‐Nimmo (2014) and examine whether crude oil prices are asymmetrically passed on to the real exchange rate in the case of Indonesia. We uncover that oil price changes indeed asymmetrically affect the Indonesian rupiah in both the long and short run; i.e., the movement in the Indonesian rupiah appears to be more responsive to rising oil prices than to declining oil prices.