Exchange rates and oil price under uncertainty and regime switching: A Markov-switching VAR approach

Exchange rates and oil price under uncertainty and regime switching: A Markov-switching VAR approach

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Purpose - This paper analyses the effects of the US economic policy uncertainty index and oil price changes on the dollar exchange rate over a monthly period from January 2006 to August 2020. Methods - This paper uses the Markov-switching Vector Auto-Regressive (VAR) model. Findings - The results...

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Bibliographic Details
Main Authors: Nagmi Moftah Aimer, Abdulmula Albashir Lusta
Format: Article
Language:English
Published: Universitas Islam Indonesia 2021-10-01
Series:Economic Journal of Emerging Markets
Subjects:
oil price
exchange rate
Markov switching
Online Access:http://journal.uii.ac.id/JEP/article/view/19698

Internet

http://journal.uii.ac.id/JEP/article/view/19698

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