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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
© Business & Management Studies: An International Journal, 2019
Mehmet Fatih BAYRAMOĞLU
Assoc. Prof. Dr., Zonguldak Bülent Ecevit University
Arzu TAY BAYRAMOĞLU
Assoc. Prof. Dr., Zonguldak Bulent Ecevit University
Mehmet Alper ERGÜN
How to Cite
ASYMMETRIC CAUSALITY TEST IN MEAN AND IN VARIANCE OF EXCHANGE RATE AND OIL PRICES
Vol 7 No 5 (2019): BUSINESS & MANAGEMENT STUDIES: AN INTERNATIONAL JOURNAL
Submitted: Oct 23, 2019
Published: Dec 25, 2019
In this study, the causality relationship between Euro / Dollar exchange rate and oil prices was analyzed by causality tests on average and variance. According to the Toda-Yamamoto causality test based on Bootstrap developed by Hacker-Hatemi-J (2006), there is no linear causality between exchange rate and oil price. According to the Hatemi-J (2012) asymmetric causality test findings, causality was determined from negative shocks in oil prices to positive shocks in exchange rates, and from positive shocks in exchange rate to negative shocks in oil prices. Thus, it is concluded that the oil price and Euro/dollar exchange rate move asymmetrically opposite direction. The Hafner-Herwartz variance causality test findings, which examine the causality between exchange rate variance and oil price variance, point to causality from volatility in oil price to volatility in Euro / Dollar exchange rate.