IDEAS home Printed from https://ideas.repec.org/a/taf/jitecd/v29y2020i2p181-198.html
   My bibliography  Save this article

Can oil and precious metal price forecast exchange and interest rate movement in Bangladesh?

Author

Listed:
  • Debasish Kumar Das
  • Champa Bati Dutta

Abstract

This paper investigates the predictive power of world oil and precious metal price for exchange rate (BDT/US dollar) and interest rate movements using monthly data spanning from January 1990 to April 2016. Using a structural VAR with identification restriction, our impulse response and variance decomposition analysis suggest that oil price has a significant influence in forecasting both exchange and interest rate in short-run. Whereas, precious metal (i.e. gold and silver) price tends to display overshooting behavior on interest rate in both short and long horizons. This evidence also suggests that shocks to exchange rate account for a substantial share of fluctuations in interest rate. The findings offer major quantitative evidence for central bank policy makers, investors, hedge and portfolio managers.

Suggested Citation

  • Debasish Kumar Das & Champa Bati Dutta, 2020. "Can oil and precious metal price forecast exchange and interest rate movement in Bangladesh?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 29(2), pages 181-198, February.
  • Handle: RePEc:taf:jitecd:v:29:y:2020:i:2:p:181-198
    DOI: 10.1080/09638199.2019.1655584
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09638199.2019.1655584
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/09638199.2019.1655584?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jitecd:v:29:y:2020:i:2:p:181-198. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RJTE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.