Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland

Authors

  • Tayfur Bayat Inonu University, Department of Economics, Malatya, Turkey
  • Saban Nazlioglu Pamukkale University, Department of Econometrics, Denizli, Turkey
  • Selim Kayhan Necmettin Erbakan University, Department of Economics, Konya, Turkey

DOI:

https://doi.org/10.2298/PAN1503267B

Keywords:

Oil prices-exchange rates relationship, Transition countries, Frequency domain

Abstract

This study investigates causal dynamics between crude oil prices and exchange rates in Czech Republic, Poland and Hungary by employing monthly data from the beginning of flexible exchange regime in each country to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out linear causality, non-linear causality, volatility spillover and frequency domain causality tests. The frequency domain causality analysis results imply that oil price fluctuations affect real exchange rates in the long run in Poland and Czech Republic. On the other hand, frequency domain causality test results indicate that oil price fluctuations do not affect exchange rate in any period in Hungary despite its economy’s high imported energy dependency.

Key words: Oil prices-exchange rates relationship, Transition countries, Frequency domain.
JEL: C32, F31, F41, Q43.

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Published

2015-10-10

How to Cite

Bayat, T., Nazlioglu, S., & Kayhan, S. (2015). Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland. Panoeconomicus, 62(3), 267–285. https://doi.org/10.2298/PAN1503267B

Issue

Vol. 62 No. 3 (2015)

Section

Original scientific paper