Analysing the Dependency of Exchange Rate on Crude oil Price with Wavelet Networks: Evidence from India
نویسندگان
چکیده
The crude oil prices as well as the effective exchange rate of the dollar are both time series and non -stationary as well. In this paper, we investigate the relationship between real effective exchange rate and crude oil prices by hybrid wavelet network. We use a simple Multi-layer Perceptron Neural Network (MLPNN) based wavelet decomposition to analyse the relatio nship between real effective exchange rate and crude oil prices. The study for India indicate that crude oil prices effect the real effective exchange rate and the hybrid model better untangle the relationship between real effective exchange rate and crude oil than other models.
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