CRUDE OIL PRICE AND EXCHANGE RATE: AN ANALYSIS OF THE ASYMMETRIC EFFECT AND VOLATILITY USING THE NON LINEAR AUTOREGRESSIVE DISTRIBUTED LAG AND GENERAL AUTOREGRESSIVE CONDITIONAL HETEROCHEDASTICITY IN MEAN MODELS Article Swipe
La Ode Saidi
,
Hasan Aedy
,
Fajar Saranani
,
Rosnawintang Rosnawintang
,
Pasrun Adam
,
La Ode Arsad Sani
·
YOU?
·
· 2019
· Open Access
·
· DOI: https://doi.org/10.32479/ijeep.8362
YOU?
·
· 2019
· Open Access
·
· DOI: https://doi.org/10.32479/ijeep.8362
This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of WTI crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the NARDL-GARCH-M model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.Keywords: Crude oil prices, exchange rates, volatility, NARDL model, GARCH-M modelJEL Classifications: C120, C320, E310, G150DOI: https://doi.org/10.32479/ijeep.8362
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.32479/ijeep.8362
- https://www.econjournals.com/index.php/ijeep/article/download/8362/4750
- OA Status
- gold
- Cited By
- 13
- References
- 26
- Related Works
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- OpenAlex ID
- https://openalex.org/W2982738026
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Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W2982738026Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.32479/ijeep.8362Digital Object Identifier
- Title
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CRUDE OIL PRICE AND EXCHANGE RATE: AN ANALYSIS OF THE ASYMMETRIC EFFECT AND VOLATILITY USING THE NON LINEAR AUTOREGRESSIVE DISTRIBUTED LAG AND GENERAL AUTOREGRESSIVE CONDITIONAL HETEROCHEDASTICITY IN MEAN MODELSWork title
- Type
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articleOpenAlex work type
- Language
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enPrimary language
- Publication year
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2019Year of publication
- Publication date
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2019-11-15Full publication date if available
- Authors
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La Ode Saidi, Hasan Aedy, Fajar Saranani, Rosnawintang Rosnawintang, Pasrun Adam, La Ode Arsad SaniList of authors in order
- Landing page
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https://doi.org/10.32479/ijeep.8362Publisher landing page
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https://www.econjournals.com/index.php/ijeep/article/download/8362/4750Direct link to full text PDF
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YesWhether a free full text is available
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goldOpen access status per OpenAlex
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https://www.econjournals.com/index.php/ijeep/article/download/8362/4750Direct OA link when available
- Concepts
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Autoregressive conditional heteroskedasticity, West Texas Intermediate, Volatility (finance), Distributed lag, Econometrics, Autoregressive model, Exchange rate, Economics, Crude oil, Brent Crude, Oil price, Monetary economics, Geology, Petroleum engineeringTop concepts (fields/topics) attached by OpenAlex
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13Total citation count in OpenAlex
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2025: 2, 2023: 6, 2021: 4, 2020: 1Per-year citation counts (last 5 years)
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10Other works algorithmically related by OpenAlex
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| display_name | CRUDE OIL PRICE AND EXCHANGE RATE: AN ANALYSIS OF THE ASYMMETRIC EFFECT AND VOLATILITY USING THE NON LINEAR AUTOREGRESSIVE DISTRIBUTED LAG AND GENERAL AUTOREGRESSIVE CONDITIONAL HETEROCHEDASTICITY IN MEAN MODELS |
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