Re-exploring the nexus between oil prices and ASEAN exchange rates: An ARDL bounds testing approach
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In this paper we use quarterly data from 1973:Q1 to 2013:Q4 to ex\-plore the long-run relationship between real oil prices and real ex\-change rates for selected ASEAN countries (namely Indonesia, Ma\-laysia, the Philippines, Singapore and Thailand) by employing the Autoregressive Distributed Lag (ARDL) bounds testing approach of cointegration. We don't find any evidence of a long-run relation\-ship, where we failed to reject the null hypothesis of no cointegra\-tion for all countries, even when the structural breaks were incor\-porated in the ARDL model. As opposed to much empirical work that found cointegration, we believe that the previous work as\-sumed the variables to be integrated of order one, due to the fact that it used conventional unit root tests that lack power in the presence of structural breaks, thus leading to a high probability of accepting a false null hypothesis. The paper then used the Toda- Yamamoto causality test to investigate the causality direction. The results show unidirectional causality from exchange rate to oil pric\-es in all countries except for Singapore where the causality goes from oil prices to exchange rate, with all results significant.
Abstract
In this paper we use quarterly data from 1973:Q1 to 2013:Q4 to ex\-plore the long-run relationship between real oil prices and real ex\-change rates for selected ASEAN countries (namely Indonesia, Ma\-laysia, the Philippines, Singapore and Thailand) by employing the Autoregressive Distributed Lag (ARDL) bounds testing approach of cointegration. We don't find any evidence of a long-run relation\-ship, where we failed to reject the null hypothesis of no cointegra\-tion for all countries, even when the structural breaks were incor\-porated in the ARDL model. As opposed to much empirical work that found cointegration, we believe that the previous work as\-sumed the variables to be integrated of order one, due to the fact that it used conventional unit root tests that lack power in the presence of structural breaks, thus leading to a high probability of accepting a false null hypothesis. The paper then used the Toda- Yamamoto causality test to investigate the causality direction. The results show unidirectional causality from exchange rate to oil pric\-es in all countries except for Singapore where the causality goes from oil prices to exchange rate, with all results significant.
참고문헌 (38)
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