Trygubenko, V.O. (2005) The Effect of Oil Prices and Other Determinants on the United States Dollar Effective Exchange Rate. Southern Methodist University. Thesis Paper Retrieved from ProQuest Digital Dissertations Database.

has been cited by the following article:

• TITLE: Improving the Forecast Accuracy of Oil-Exchange Rate Nexus in GCC Countries

  AUTHORS: Onuoha Ikwor Nnachi

  KEYWORDS: Oil Price, Exchange Rate, Forecast Evaluation, GCC Countries

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.15, November 15, 2018

  ABSTRACT: This paper renders new evidence on the predictability of GCC dollar exchange rates using crude oil prices relying on the approach of Westerlund [1] [2] that accounts for salient features of the predictor. The results show the presence of significant in-sample predictability of exchange rates using crude oil prices (Brent and WTI prices) across the GCC countries. The results of forecast evaluation based on the root mean square error (RMSE), Campbell-Thompson (C-T) statistic and Diebold-Mariano (D-M) statistic are rather mixed. The superior forecast performance of the oil-based exchange rate model is highly sensitive to the choice of benchmark time-series models. We, however, conclude the overwhelming forecast performance of time-series models (namely, AR, ARMA, and ARFIMA) over our oil-based exchange rate model in predicting exchange rates across the GCC region.