Exchange rate forecasting based on oil price

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dc.contributor.advisorProdan-Boul, Ruxandra
dc.contributor.committeeMemberThornton, Rebecca A.
dc.contributor.committeeMemberCraig, Steven Gael
dc.creatorAli, Saif 1987-
dc.date.accessioned2014-08-01T15:58:50Z
dc.date.available2014-08-01T15:58:50Z
dc.date.createdDecember 2013
dc.date.issued2013-12
dc.date.updated2014-08-01T15:58:51Z
dc.description.abstractThis paper is aimed at finding out how well nominal oil price can predict nominal exchange rates out-of-sample compared to the random walk benchmarks. The choice of country selection for the exchange rates is based on whether the country is an oil exporter or importer. Despite using two different models, we find that for only one country (Russia) oil price is able to perform better than the random walk benchmarks. In addition, the countries that have a higher share of oil export of the total export and are net exporters are able to show short-horizon predictability of the exchange rate but only for large sample sizes. Overall, the results of the most of the countries were not better than the random walk. The fact that a country is a big net exporter and has a high oil export/import share of total export/import might be the reason why oil price is able to predict exchange rate better than the random walk.
dc.description.departmentEconomics, Department of
dc.format.digitalOriginborn digital
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/10657/749
dc.language.isoeng
dc.rightsThe author of this work is the copyright owner. UH Libraries and the Texas Digital Library have their permission to store and provide access to this work. Further transmission, reproduction, or presentation of this work is prohibited except with permission of the author(s).
dc.subjectNominal exchange rate
dc.subjectRandom walk
dc.subjectNet exporter
dc.subjectShort-horizon predictability
dc.subjectOil export/import share
dc.subject.otherApplied economics
dc.titleExchange rate forecasting based on oil price
dc.type.dcmiText
dc.type.genreThesis
thesis.degree.collegeCollege of Liberal Arts and Social Sciences
thesis.degree.departmentEconomics, Department of
thesis.degree.disciplineApplied Economics
thesis.degree.grantorUniversity of Houston
thesis.degree.levelMasters
thesis.degree.nameMaster of Arts

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