Investigation of the Relations between Crude Oil Prices and Real Effective Exchange Rate (REER) in Iran using Phase-Angle Analysis
Author(s):
Abstract:
This paper discusses two topics. At first, it uses continuous wavelet (Morlet) transform, coherency, and phase angle analysis to study the effect of mean volatility in OPEC Crude Oil prices, WTI crude oil prices, Brent Crude oil prices and Irans crude oil prices on The Irans REER. To this end, the monthly data of the variables for years 2003 to 2012 is used. Coherency analysis revealed areas where there are behavioral similarities between the two time series (The Oils Prices and The Irans REER). These areas are displayed in spectral graphs. The results demonstrate that there is high coherency between the two variables (The Oils Prices and The Irans REER). Then, to have a better understanding of type and depth of the relations between The Irans Oil prices and The Irans REER, cross wavelet transform and phase difference analysis are used. The final result demonstrates that if the government does not take countercyclical policies, The Irans crude oil price variable has the potential to affect Irans REER variable and be the lead operator.
Keywords:
JEL Classification: B23 , C22 , E3. Keywords: Coherency , Oil price , Phase , Angle , REER , Time series , Wavelet
Language:
English
Published:
Iranian Economic Review, Volume:20 Issue: 42, Winter 2016
Pages:
93 to 109
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