Oil Price and Exchange Rate of China——A Nonlinear Granger Approach

DOI

10.2991/etmhs-15.2015.22How to use a DOI?

Keywords

Oil price; Real exchange rate; Nonlinear Granger causality test; China

Abstract

We investigate the possible nonlinear causality relationships between crude oil price and RMB exchange rate which usually ignored by previous researches which are mainly focused on the traditional linear side. As shown in many researches recently, the nonlinear structure of energy price has been widely considered. To fill this gap, we employ nonlinear causality test to examine the Granger relationships between the above two series. Our results indicate that there exists the unidirectional nonlinear causality running from to crude oil price to RMB exchange rate from July 2005 to March 2013.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Songran Li
AU  - Degong Ma
PY  - 2015/03
DA  - 2015/03
TI  - Oil Price and Exchange Rate of China——A Nonlinear Granger Approach
BT  - Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science
PB  - Atlantis Press
SP  - 95
EP  - 99
SN  - 2352-5398
UR  - https://doi.org/10.2991/etmhs-15.2015.22
DO  - 10.2991/etmhs-15.2015.22
ID  - Li2015/03
ER  -