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The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework

Domenii publicaţii > Economie + Tipuri publicaţii > Articol în revistã ştiinţificã

Autori: Aviral Kumar Tiwari, Mihai Ioan Mutascu, Claudiu Tiberiu Albulescu

Editorial: Elsevier, Energy Economics, 40, p.714–733, 2013.

Rezumat:

The purpose of this paper is to assess the empirical influence of oil prices on the real effective exchange rate in
Romania in a wavelet transform framework. More precisely, we investigate to what extent oil prices impact
the real effective exchange rate in an Eastern European transition country, characterised by a low level of retail
fuel prices and by an important growth rate of these prices as compared to the other EU countries. For this
purpose we use a discrete wavelet transform approach and scale-by-scale Granger causality tests. We find that
oil prices have a strong influence on the real effective exchange rate in the short run, but also for large time
horizons. These results are important considering the fact that, in a classical Granger causality linear framework
for the entire sample, we find that oil prices have no influence on the real effective exchange rate. The findings
remain robust when resampling the initial 1986–2009 period, orwhen we use an alternative continuous wavelet
transform. In addition, we discover that mainly the positive shocks associated with an increase in oil prices have
an impact upon the real effective exchange rate movements in the short and long runs.

Cuvinte cheie: Oil prices; Exchange rate nexus; Wavelet cross-correlation; Granger causality; Romania

URL: http://www.sciencedirect.com/science/article/pii/S0140988313001898