The Impact of Oil Price Movements on Exchange Rate Changes: Evidence from Caspian Sea Countries (GARCH and EGARCH Approaches)

QR Code

The Impact of Oil Price Movements on Exchange Rate Changes: Evidence from Caspian Sea Countries (GARCH and EGARCH Approaches)

The aim of the paper is to investigate the exchange rate consequences of oil price fluctuations across the five Caspian Sea countries between the periods of 01/01/2016-31/07/2017 and to analyse the dynamic relationship of effects thereof. The paper uses the following: Granger Causality test to check...

Full description

Bibliographic Details
Main Author:	Huseynov, Sanan
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2017
Subjects:	Exchange Rates Caspian Sea Countries Azerbaijan Iran Kazakhstan Russia Turkmenistan West Texas International Granger Causality Impulse Response GARCH EGARCH Volatility Spillover
Online Access:	https://eprints.nottingham.ac.uk/46191/

Similar Items

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

Assessment, distribution and speciation of heavy metals (Zn, Cu, Pb, Ni, Cd and Fe) in surface sediment and different parts of Dreissena polymorpha along the South Coast of the Caspian Sea and Anzali Wetland, Iran
by: Sohrabi, Tooraj
Published: (2011)

Morphometric Analysis and Population Genetics of Mahisefid (Rutilus Frisii Kutum Kamensky,1901) in South of Caspian Sea
by: Abdolhay, Hossein Ali
Published: (2010)

Impact of crude-oil price volatility on economic activities: An empirical investigation in the Thai economy
by: Rafiq, Shuddsattwa, et al.
Published: (2008)

Volatility Forecasting in Bull and Bear Markets: Evidence from the US stock market
by: Sideris, Epameinondas
Published: (2016)

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
by: Gao, Song
Published: (2014)

MODELLING AND FORECASTING VOLATILITY BY GARCH-TYPE MODELS: THE CASE OF VIETNAM STOCK EXCHANGE
by: Mai, Thi Thanh Hien
Published: (2008)

An Analysis of the Relationship between Nominal Exchange Rates and Stock Prices
by: Wu, Lina
Published: (2015)

A study on the relationship between exchange rate and stock price in China
by: DING, LIJIN
Published: (2017)

Early development of Rutilus frisii kutum kamenskii larvae with emphasis on the ontogeny of digestive tract
by: Jafari, Mahdieh
Published: (2011)

Return and volatility spillover eﬀects: Evaluating the impact of Shanghai and Shenzhen-Hongkong Stock Connect Programs on A-H-US stock markets ---An empirical analysis based on VAR-GARCH model
by: JI, BAIHAO
Published: (2019)

Essays on international trade and stock market performance in China
by: Opartpunyasarn, Rungnapa
Published: (2017)

Coal Consumption and Economic Growth: Evidence from a panel of OECD countries
by: Apergis, Nicholas, et al.
Published: (2010)

Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility
by: Choo, Wei Chong
Published: (1998)

Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets
by: Zhu, H., et al.
Published: (2004)

Tourism and Growth in The Caribbean – Evidence From a Panel Error Correction Model
by: Apergis, Nicholas, et al.
Published: (2012)

A Panel Study of Nuclear Energy Consumption and Economic Growth
by: Apergis, Nicholas, et al.
Published: (2010)

A Dynamic Panel Study of Economic Development and the Electricity Consumption-Growth Nexus
by: Apergis, Nicholas, et al.
Published: (2011)

The Causal Dynamics Between Coal Consumption and Growth: Evidence from Emerging Market Economies
by: Apergis, Nicholas, et al.
Published: (2010)

Vietnam stock market liberalisation's effect
by: Khuc, Minh Hieu
Published: (2008)

The relationship between bitcoin and the stock market: empirical evidence from the ASEAN countries
by: Le, Ha Duong
Published: (2025)

Natural Gas Consumption and Economic Growth: A Panel Investigation of 67 Countries
by: Apergis, Nicholas, et al.
Published: (2010)

The Long-run Determinants of Australian Income Inequality
by: Gaston, Noel, et al.
Published: (2009)

Empirical Analysis of GARCH models and their performance in pricing options in comparison to the Black Scholes Model
by: Iyer, Meenu
Published: (2008)

Stock market integration and the ASEAN Trading Link an empirical study
by: Sulong, Rizal Lynam Matjeraie
Published: (2019)

The Co-Movement among Taiwan and International Stock Market
by: Chi, Ching-Hsin
Published: (2006)

Stability in ASEAN+3 exchange markets: An EGARCH-M approach
by: Rahman, Md. Saifur, et al.
Published: (2015)

Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing Economies
by: Rafiq, Shuddhasattwa
Published: (2009)

Growth and productivity in Australia
by: Agbenyegah, Benjamin K., et al.
Published: (2008)

Growth and productivity in Australia
by: Agbenyegah, Benjamin K., et al.
Published: (2008)

GARCH dependence in extreme value models with Bayesian inference
by: Zhao, X., et al.
Published: (2011)

Renewable and Non-renewable Electricity Consumption-Growth Nexus: Evidence From Emerging Market Economies
by: Apergis, Nicholas, et al.
Published: (2011)

Spillover effects from inter-governmental transfers between local jurisdictions in Brazil
by: BRAGA .DE MELO, LUCAS
Published: (2023)

Modelling thresholds and volatility in US ecological patents
by: Chan, Felix, et al.
Published: (2005)

Forecasting value-at-risk using maximum entropy density
by: Chan, Felix
Published: (2009)

Forecasting Volatility and Analyzing the Features of Volatility by three different methods- empirical study based on SSE 50ETF
by: Zou, YuanFang
Published: (2019)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Energy Consumption and Growth in South America: Evidence From a Panel Error Correction Model
by: Apergis, Nicholas, et al.
Published: (2010)

Energy Consumption and Economic Growth: Evidence from the Commonwealth of Independent States
by: Apergis, Nicholas, et al.
Published: (2009)

Energy Consumption and Economic Growth in Central America: Evidence From a Panel Cointegration and Error Correction Model
by: Apergis, Nicholas, et al.
Published: (2009)