Oil-exchange rate volatilities and returns nexus
نویسندگان
چکیده
The study evaluates the channel of volatilities and returns between global oil prices exchange rates 21 developing countries. structural vector autoregression (SVAR) findings are that oil-producing exporting countries would have their fluctuate slightly due to changing prices. For Markov-regime switching estimations, whereas, rate volatility does not significantly influence in at both regimes flexible fixed rates, there is presence significant spill-over from rates. Oil price movements do induce appreciation or depreciation In effect, trigger but positively considerably influenced crude regime by 0.59%. Notwithstanding 0.092 low transition probability, all other probabilities on market persist high for positive coefficients together with reported indicative rising implying devaluation hence, a negative Market agents can therefore diversify risks investing markets forex independently.
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ژورنال
عنوان ژورنال: Corporate Governance and Organizational Behavior Review
سال: 2023
ISSN: ['2521-1870', '2521-1889']
DOI: https://doi.org/10.22495/cgobrv7i2sip11