In this paper we use quarterly data from 1970:Q1 to 2016:Q4 to explore the asymmetric relationship between real oil prices and real exchange rates for selected ASEAN countries. This is done by employing the nonlinear Autoregressive Distributed Lags (NARDL) approach of cointegration, in the presence of structural breaks. The empirical results show long-run asymmetry for Indonesia and Malaysia only, when considering structural breaks. The paper, furthermore, examined the causality direction for the oil price-exchange rate nexus. The results show mixed results, as we find bidirectional causality between oil price (increase and decrease) and exchange rate in some cases, meanwhile, we find unidirectional causality running from either oil price increase or decrease to exchange rate in other cases.
Keywords: ASEAN; real oil prices; exchange rates; NARDL; Asymmetry
JEL classifications: F31; F41; Q43; O53