Nonlinear causality relations of oil price and national currency based on momentum threshold autoregressive (MTAR) model:Cases of Russia and USA

• Main Authors: Arkadiy Galiev, 石浩文
• Other Authors: 聶建中
• Format: Others
• Language: en_US
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/9uuvft

碩士 === 淡江大學 === 財務金融學系碩士班 === 103 === The research investigates non-linear relations of WTI oil price and US Dollar Index on the US market and URALS oil price and RUB/USD exchange rate on Russian market. The study includes unit root test (stationarity test), non-linear threshold cointegration test and Granger causality test. The empirical results and analysis suggest that oil prices and national currencies are all stationary. Also, oil price and currency are co-integrated in the long run on both markets. Apart from that, the relationship is symmetric on the US market and threshold asymmetric on Russian market. Finally, oil price leads US dollar in the short run and in the long run.