Data for: The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework

Abstract of associated article: The purpose of this paper is to assess the empirical influence of oil prices on the real effective exchange rate in Romania in a wavelet transform framework. More precisely, we investigate to what extent oil prices impact the real effective exchange rate in an Eastern European transition country, characterised by a low level of retail fuel prices and by an important growth rate of these prices as compared to the other EU countries. For this purpose we use a discrete wavelet transform approach and scale-by-scale Granger causality tests. We find that oil prices have a strong influence on the real effective exchange rate in the short run, but also for large time horizons. These results are important considering the fact that, in a classical Granger causality linear framework for the entire sample, we find that oil prices have no influence on the real effective exchange rate. The findings remain robust when resampling the initial 1986–2009 period, or when we use an alternative continuous wavelet transform. In addition, we discover that mainly the positive shocks associated with an increase in oil prices have an impact upon the real effective exchange rate movements in the short and long runs.

关联论文摘要：本文旨在基于小波变换（wavelet transform）框架，评估油价对罗马尼亚实际有效汇率（real effective exchange rate）的实证影响。更具体而言，本文聚焦于一个零售燃油价格水平偏低、且此类价格涨幅显著高于其他欧盟成员国的东欧转型经济体，探究油价对其实际有效汇率的影响程度。为此，本文采用离散小波变换（discrete wavelet transform）方法与逐尺度格兰杰因果检验（Granger causality test）展开研究。研究结果表明，油价无论在短期还是长期维度，均对实际有效汇率存在显著影响。值得注意的是，若采用针对全样本的经典线性格兰杰因果检验框架，本文原本无法发现油价对实际有效汇率存在任何影响，因此本研究结论具有重要学术价值。当对初始1986–2009年样本进行重采样，或是采用替代的连续小波变换（continuous wavelet transform）方法时，上述研究结论均保持稳健。此外，本文还发现，油价上涨带来的正向冲击，是驱动短期与长期维度内实际有效汇率变动的主要因素。