Oil price and exchange rate behaviour of the BRICS for over a century

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dc.contributor.author Salisu, Afees A.
dc.contributor.author Cunado, Juncal
dc.contributor.author Isah, Kazeem
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2021-05-18T13:03:19Z
dc.date.available 2021-05-18T13:03:19Z
dc.date.issued 2021
dc.description.abstract We attempt to predict the exchange rate returns of the BRICS (Brazil, Russia, India, China, and South Africa) countries with the global oil price using monthly datasets covering the period of 1973 to 2020. We formulate a predictive model that accounts for the salient features of the predictor and the predicted series in line with the recent literature. We establish that oil price is a good predictor of exchange rate returns for both net oil exporters (Brazil and Russia) and net oil-importers (South Africa and China). The consideration of asymmetries improves the predictability of an oil-based model for exchange rate movements and ignoring the same may lead to wrong conclusions. Finally, all the variants of the oil-based model outperform the benchmark model albeit with higher out-of-sample forecast gains with a nonlinear (asymmetric) model. en_ZA
dc.description.department Economics en_ZA
dc.description.librarian hj2021 en_ZA
dc.description.uri http://www.tandfonline.com/loi/mree20 en_ZA
dc.identifier.citation Salisu, A.A., Cuñado, J., Isah, K. et al. 2021, 'Oil price and exchange rate behaviour of the BRICS for over a century', Emerging Markets Finance and Trade, vol. 57, no. 7, pp. 2042-2051, doi: 10.1080/1540496X.2020.1850440. en_ZA
dc.identifier.issn 1540-496X (print)
dc.identifier.issn 1558-0938 (online)
dc.identifier.other 10.1080/1540496X.2020.1850440
dc.identifier.uri http://hdl.handle.net/2263/79956
dc.language.iso en en_ZA
dc.publisher Routledge en_ZA
dc.rights © 2020 Taylor & Francis Group, LLC. This is an electronic version of an article published in Emerging Markets Finance and Trade, vol. 57, no. 7, pp. 2042-2051, 2021. doi : 10.1080/1540496X.2020.1850440. Emerging Markets Finance and Trade is available online at : http://www.tandfonline.com/loi/mree20. en_ZA
dc.subject Oil price en_ZA
dc.subject Exchange rate return en_ZA
dc.subject Brazil, Russia, India, China and South Africa (BRICS) en_ZA
dc.subject Asymmetry en_ZA
dc.subject Predictability en_ZA
dc.subject Forecast evaluation en_ZA
dc.title Oil price and exchange rate behaviour of the BRICS for over a century en_ZA
dc.type Preprint Article en_ZA


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