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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...

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Bibliographic Details
Main Authors: Ali, Hamisu Sadi, Mukhtar, Umar, Tijani, Bulama Abiso, Auwal, Abdullahi Muhammad
Format: Article
Language:English
Published: International Institute for Science, Technology & Education 2015
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
http://psasir.upm.edu.my/id/eprint/56392/
http://www.iiste.org/Journals/index.php/RJFA/article/view/21175
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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
http://psasir.upm.edu.my/id/eprint/56392/
http://www.iiste.org/Journals/index.php/RJFA/article/view/21175

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