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Time-varying causality between oil price and exchange rate in five ASEAN economies

Author

Listed:
  • Mustafa Kocoglu

    (Erciyes University)

  • Phouphet Kyophilavong

    (National University of Laos)

  • Ashar Awan

    (Nisantasi University Graduate School
    University of Azad Jammu and Kashmir)

  • So Young Lim

    (Sungkyunkwan University)

Abstract

The aim of this study is to investigate the effect of oil price changes on the exchange rates of the five ASEAN economies. In the study, a rolling and recursive evolving window algorithm is applied to detect changes in the link between oil price and exchange rate from January 1988 to June 2022 for five ASEAN countries. We extend the existing literature using the Time-varying Granger causality model, which captures sensitivities across various time horizons. The findings revealed heterogeneous effects of oil price on the exchange rate at different time horizons in terms of importance and magnitude over time. Our empirical results support the combined movements of oil prices and exchange rates against some important dates and events. The findings provide investors with insight into the utility of the shock transmission mechanism and how central banks design market intervention policies.

Suggested Citation

  • Mustafa Kocoglu & Phouphet Kyophilavong & Ashar Awan & So Young Lim, 2023. "Time-varying causality between oil price and exchange rate in five ASEAN economies," Economic Change and Restructuring, Springer, vol. 56(2), pages 1007-1031, April.
    • Handle: RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09457-6
    DOI: 10.1007/s10644-022-09457-6
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