Asymmetric Relationship between Exchange Rate Volatility and Oil Price: Case Study of Thai-Baht

Asymmetric Relationship between Exchange Rate Volatility and Oil Price: Case Study of Thai-Baht

This paper aims to investigate asymmetric relationship between exchange rate volatility and oil price using a nonlinear auto-regressive distribution Lag (NARDL) developed by Shin et al. (2014). This technique allow us for estimating asymmetric long-run as well as short-run coefficients in a cointegr...

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Bibliographic Details
Main Author:	Supanee Harnphattananusorn
Format:	Article
Language:	English
Published:	EconJournals 2022-01-01
Series:	International Journal of Energy Economics and Policy
Subjects:	Exchange rate volatility GARCH (1,1) Asymmetric Non-linear Auto-Regressive Distribution Lag Oil price
Online Access:	https://econjournals.com/index.php/ijeep/article/view/11940

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