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Can oil and precious metal price forecast exchange and interest rate movement in Bangladesh?

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dc.contributor.authorDas, Debasish
dc.contributor.authorDutta, Champa Bati
dc.date.accessioned2022-05-05T23:08:55Z
dc.date.issued2019
dc.date.updated2020-12-27T07:25:56Z
dc.description.abstractThis paper investigates the predictive power of world oil and precious metal price for exchange rate (BDT/US dollar) and interest rate movements using monthly data spanning from January 1990 to April 2016. Using a structural VAR with identification restriction, our impulse response and variance decomposition analysis suggest that oil price has a significant influence in forecasting both exchange and interest rate in short-run. Whereas, precious metal (i.e. gold and silver) price tends to display overshooting behavior on interest rate in both short and long horizons. This evidence also suggests that shocks to exchange rate account for a substantial share of fluctuations in interest rate. The findings offer major quantitative evidence for central bank policy makers, investors, hedge and portfolio managers.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0963-8199en_AU
dc.identifier.urihttp://hdl.handle.net/1885/264558
dc.language.isoen_AUen_AU
dc.publisherTaylor & Francisen_AU
dc.rights© 2019 Informa UK Limited, trading as Taylor & Francis Groupen_AU
dc.sourceJournal of International Trade and Economic Developmenten_AU
dc.subjectOil priceen_AU
dc.subjectprecious metal priceen_AU
dc.subjectexchange rateen_AU
dc.subjectinterest rateen_AU
dc.subjectSVARen_AU
dc.subjectBangladeshen_AU
dc.titleCan oil and precious metal price forecast exchange and interest rate movement in Bangladesh?en_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.issue2en_AU
local.bibliographicCitation.lastpage198en_AU
local.bibliographicCitation.startpage181en_AU
local.contributor.affiliationDas, Debasish, College of Asia and the Pacific, ANUen_AU
local.contributor.affiliationDutta, Champa Bati, Khulna Universityen_AU
local.contributor.authoruidDas, Debasish, u6797955en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor140200 - APPLIED ECONOMICSen_AU
local.identifier.ariespublicationu3102795xPUB4554en_AU
local.identifier.citationvolume29en_AU
local.identifier.doi10.1080/09638199.2019.1655584en_AU
local.identifier.thomsonIDWOS:000482855400001
local.publisher.urlhttps://www.routledge.com/en_AU
local.type.statusPublished Versionen_AU

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