Since 2014
Oil Prices and REER with Impact of Regime Dummies
Journal of Economics Bibliography
View Archive Info| Field | Value | |
| Title |
Oil Prices and REER with Impact of Regime Dummies
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| Creator |
AHMED, Syed Shujaat; Department of Econometrics and Statistics, Pakistan Institute of Development Economics, Islamabad.
NAZIR, Sidra; Department of Econometrics and Statistics, Pakistan Institute of Development Economics, Islamabad |
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| Subject |
Hatemi-J residual based cointegration; Cointegration test; Level Shift; Regime Shift and Interaction terms.
N70; O13; P28. |
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| Description |
Abstract. This study is basically explores the long run relationship between REER, IRD and Oil Prices, with the use of dummies and interaction terms for exchange rate regimes in Pakistan. By using Hatemi – J residual based cointegration test. Test has modified by including level shift, level shift with trend and regime shift. The data span is from the period of 1982m01-2014m03 in case of Pakistan. Also negative relationship betweenIRD and REER is due to indirect relationship between inflation and nominal interest rate that leads to fall in exchange rate. Long run relationship has concluded from cointegration test between variables.Keywords.Hatemi-J residual based cointegration, Cointegration test, Level Shift, Regime Shift and Interaction terms.JEL. N70, O13, P28.
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| Publisher |
Journal of Economics Bibliography
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| Contributor |
—
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| Date |
2016-03-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.kspjournals.org/index.php/JEB/article/view/670
10.1453/jeb.v3i1.670 |
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| Source |
Journal of Economics Bibliography; Vol 3, No 1 (2016): March; 123-133
2149-2387 |
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| Language |
eng
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| Relation |
http://www.kspjournals.org/index.php/JEB/article/view/670/714
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| Rights |
Copyright (c) 2016 Journal of Economics Bibliography
http://creativecommons.org/licenses/by-nc/4.0 |
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