Oil Price and the Dollar
AbstractThe aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number halshs-00353404.
Date of creation: 2008
Date of revision:
Publication status: Published, Energy Studies Review, 2008, 15, 2, ?
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oil prices; effective exchange rate; net foreign asset position; cointegration; causality; error correction model;
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