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Applied Economics Letters Volume 20, 2013 - Issue 10
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Original Articles

Exchange rate and oil price: asymmetric adjustment

Jen-Eem Chen Faculty of Business Management, Universiti Teknologi MARA, 40450, Shah Alam, MalaysiaCorrespondence[email protected]
,
Chin-Yu Lee Faculty of Business and Finance, Universiti Tunku Abdul Rahman, 31900, Kampar, Malaysia
&
Lim-Thye Goh Faculty of Economics and Management, Universiti Putra Malaysia, 43000, Serdang, Malaysia
Pages 987-990 | Published online: 26 Feb 2013
 
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Abstract

This article aims to investigate whether the interaction between exchange rate and oil price exhibits asymmetric adjustment in Philippines using quarterly data over the period 1970Q1 to 2011Q4. The Threshold Autoregressive (TAR) model reveals that exchange rate and oil price are not cointegrated. However, these two variables are asymmetrically adjusted in Momentum Threshold Autoregressive (MTAR) model. Thus, it suggests that adjustment mechanism towards equilibrium may not be necessarily constant.

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