The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis

Tourism-led growth asymmetries in Greece: evidence from quantile regression analysis

“…We document the tourism-growth hypothesis by examining the presence of long-run cointegration between the variables, their causal equilibrium relationship and their short-run asymmetric adjustment process, by applying threshold cointegration estimation techniques (Threshold Autoregression Model (TAR) and Momentum Autoregression Model (MTAR), developed by Enders and Siklos ( 2001 ) and Sun ( 2011 ). Third, to consider the effects of changes of tourism on different quantiles of output, that is under various states of the economy, we utilize the QR analysis, following Koenker and Bassett ( 1978 ) and Nusair and Olson ( 2019 ). Finally, we implement asymmetric quantile analysis to examine the effects of positive and negative changes of tourism on output.…”

“…The results point to an asymmetric effect behaviour both in the short and long term and to a substantial faster and significant speed of adjustment of output for negative deviations from the long-run equilibrium. Second, we apply the econometric methodology of Koenker and Bassett ( 1978 ) and Nusair and Olson ( 2019 ), namely quantile regression (QR) analysis, to examine the impact of tourism growth on output growth. Using QR analysis we gather information on the co-movements between tourism and output under various states of the economy, that is whether it is flourishing (upper quantiles), bearish (lower quantiles) or normal (intermediate quantiles).…”

Can Oil Prices Predict Japanese Yen?

“…Given this literature, we argue that oil price is also a shock to exchange rates given that oil prices have been shown to influence exchange rates and there are multiple theories that support such a relationship, such as the terms of trade channel (see Amano & Van Norden, 1998) and the wealth channel (see Krugman, 1983); for a survey of relevant theories, see Beckmann et al (2020). For empirical studies on oil price shocks and exchange rates, see, inter alia, Jiang et al (2020), Nusair & Olson (2019), and Jung et al (2020).…”

Dynamic structural impacts of oil shocks on exchange rates: lessons to learn

“…From the methodology side, previous studies dealing with the oil price-exchange rate nexus employ a wide range of econometric models, such as cointegration and Granger causality (Chaudhuri and Daniel 1998;Brahmasrene et al 2014;Mensah et al 2017;Jung et al 2019), error-correction model (Amano and van Norden 1998a), GARCH-type models (Narayan et al 2008;Fowowe 2014;Brayek et al 2015), quantile regression model (Nusair and Olson 2019), VAR model (Pershin et al 2016a, b) and panel models (Chen and Chen 2007;Nikbakht 2010). Some recent research focuses on investigating the nonlinear relationship between oil prices and exchange rates in the oil-importing and oil-exporting countries using various copula-based model and CoVaR measures (Reboredo 2012;Wu et al 2012;Aloui and Aïssa 2016;Ji et al 2019;Tiwari et al 2019).…”