The Links between the Price of Oil and the Value of US Dollar
AbstractUsing monthly data, this paper studies the cointegration between the real price of oil and the real effective exchange rate of US dollar allowing for structural breaks. Contrary to the conclusion from previous literature, this paper finds that the cointegration between the oil price and the value of US dollar does not significantly exist unless the effects of two structural breaks in the past, November 1986 and February 2005, are controlled for.
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Bibliographic InfoArticle provided by Econjournals in its journal International Journal of Energy Economics and Policy.
Volume (Year): 3 (2013)
Issue (Month): 4 ()
Pages: 341 - 351
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Web page: http://www.econjournals.com
Oil price; Exchange rate; Cointegration;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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