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Oil prices and effective dollar exchange rates

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  • Beckmann, Joscha
  • Czudaj, Robert

Abstract

This study takes into account two previously neglected issues in its analysis of the relationship between oil prices and effective dollar exchange rates, namely, nonlinear adjustment dynamics and a distinction between nominal and real linkages. Beginning with a careful investigation of different subsets, and using a Markov-switching vector error correction model, we are able to discriminate long-run and time-varying short-run dynamics. Our findings show not only that the results depend on the choice of the exchange rate measure, but also that the time-varying causality patterns mainly runs from nominal exchange rates to nominal oil prices.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 27 (2013)
Issue (Month): C ()
Pages: 621-636

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Handle: RePEc:eee:reveco:v:27:y:2013:i:c:p:621-636

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Web page: http://www.elsevier.com/locate/inca/620165

Related research

Keywords: Cointegration; Error correction; Oil price; Effective exchange rates; Markov-switching;

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References

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Citations

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Cited by:
  1. Joscha Beckmann & Robert Czudaj, 2013. "Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?," Ruhr Economic Papers 0431, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  2. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  3. Jiranyakul, Komain, 2014. "Oil price volatility and real effective exchange rate: the case of Thailand," MPRA Paper 57196, University Library of Munich, Germany.
  4. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.

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