2008•SSRN Electronic JournalOpen access

Understanding the Oil Price-Exchange Rate Nexus for the Fiji Islands

Paresh Kumar Narayan, Seema Narayan, Arti Prasad

Abstract

In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar.

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Key concepts: Autoregressive conditional heteroskedasticity, Economics, Exchange rate, Oil price, Liberian dollar, Nexus (standard), Autoregressive model, Us dollar