Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries?
We estimated the relationship between the exchange rates and crude oil prices for the period of 1960 to 2013. Based on Engle-Granger we found that the variables are cointegrated means there exist long-run relationship. However, when we move on to TAR and MTAR models the findings are opposite as ther...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
International Institute for Science, Technology & Education
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/56392/1/Dynamic%20relationship%20of%20exchange%20rates%20and%20crude%20oil%20prices%20in%20South%20Africa%20are%20there%20asymmetries.pdf |