RELATIONSHIP BETWEEN EXCHANGE RATE AND CRUDE OIL PRICE, FOREIGN EXCHANGE RESERVE AND TRADE BALANCES: Evidences from Bangladesh and South Korea
RELATIONSHIP BETWEEN EXCHANGE RATE AND CRUDE OIL PRICE, FOREIGN EXCHANGE RESERVE AND TRADE BALANCES: Evidences from Bangladesh and South Korea
- 주제(키워드) Oil+MBA+Bangladesh
- 주제(KDC) 326
- 주제(DDC) 382
- 발행기관 아주대학교
- 지도교수 송영균
- 발행년도 2007
- 학위수여년월 2007. 8
- 학위명 석사
- 학과 및 전공 국제대학원 국제경영학과
- 본문언어 영어
초록/요약
This study attempts to explore the relationship between exchange rate and crude oil price, foreign exchange reserve and trade balances in the case of Bangladesh and South Korea based on the monthly time series data. Applying VAR and VEC Granger noncausality tests, this paper reveals that crude oil price, foreign exchange reserve and trade balances do not Granger cause exchange rate in the short run or in the flexible exchange rate regime. However, in Bangladesh case, crude oil price and trade balances are causally related with exchange rate and causality runs from oil price and trade balance to exchange rate in the long run. Exchange rate and foreign exchange reserve have been found not related in the case of Bangladesh but it is related for the long run data of South Korea. In South Korean case, trade balances and crude oil price do not cause exchange rate rather exchange rate influences trade balances. Though in the short run similar results were found in the case of both countries irrespective of the economic backgrounds, the long run relationship depends on the economic features of the country. Policy implication for Bangladesh is that it should consider the oil price as well as trade balances along with other variables during forecasting exchange rate. For Korea, it should take into account foreign exchange reserve along with other variables in forecasting exchange rate. It should consider exchange rate as well because it has a substantial influence over trade balances.
more목차
Abstract ii
Acknowledgements iii
Table of Contents v
List of Acronyms and Abbreviation viii
List of Tables ix
List of Figures xii
Chapter 1: Introduction 1
1.1 The Background 1
1.1.1. Statement of the Problem 2
1.1.2 Primary Research Question 3
1.1.3 Subsidiary Research Questions 3
1.2. Importance of the Study 4
1.2.1. Purpose Statement 4
1.2.2. Justifications of the Study 4
1.2.3. Delimitations and Limitations 5
1.2.4. Framework of the Paper 6
Chapter 2: Literature review 7
2.1. Literature Review 7
2.1.1. Discussion on Related Literature 7
2.1.2. Summary and Direction of this Study 11
Chapter 3: Foreign Exchange and Oil market Scenario of Bangladesh and Korea13
3.1. Exchange Rate Regime 13
3.1.1. Exchange Rate Regime of Bangladesh 14
3.1.2. Exchange Rate Regime of South Korea 15
3.2. Trade balance and Foreign Exchange Reserve Scenario 16
3.2.1. Trade Balance and Foreign Exchange Reserve Scenario of Bangladesh 16
3.2.2. Trade Balance and Foreign Exchange Reserve Scenario of South Korea 17
3.3. Crude Oil Market 18
3.3.1. Overview of Crude Oil Imports by Bangladesh 18
v
3.3.2. Overview of Crude Oil Imports by South Korea 19
3.4. Comparative Analysis Bangladesh and Korean Market 20
Chapter 4: Analysis of Relationship between Exchange Rate and Crude Oil Price,
Foreign Exchange Reserve and Trade Balances 22
4.1. Data and Methodology 22
4.1.1. Data Description 22
4.1.2. Methodology 23
4.1.3. Prime Hypotheses 25
4.2. Data Analysis in the Case of Bangladesh 25
4.2.1 Stationary Tests 25
4.2.1.1. Models 25
4.2.1.2. Lag Selection 31
4.2.1.3. Empirical Results 32
4.2.2 Cointegration Test 35
4.2.2.1. Models 35
4.2.2.2. Empirical Results 36
4.2.3. Granger Causality Tests 39
4.2.3.1. Models 40
4.2.3.2. Empirical Results 42
4.3. Data Analysis in the Case of South Korea 43
4.3.1 Test of Time Series Properties 43
4.3.1.1. Models 43
4.3.1.2 Empirical Results 45
4.3.2 Cointegration Tests 47
4.3.2.1. Models 47
4.3.2.2. Empirical Results 48
4.4.3 Granger Causality Tests 49
4.4.3.1. Models 49
4.4.3.2. Empirical Results 50
Chapter 5: Interpretation of Empirical Findings 51
5.1. Analysis of the Results 51
5.2. Summary of Main Findings 55
vi
Chapter 6: Conclusion and Recommendations 57
6.1. Conclusion 57
6.2. Key Recommendations 58
6.3. Scope for Further Research 59
Bibliography 60
Appendix 63
