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Oil Price and the Dollar

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Author Info

  • Virginie Coudert

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

  • Valérie Mignon

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

  • Alexis Penot

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

Abstract

The 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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File URL: http://halshs.archives-ouvertes.fr/docs/00/35/34/04/PDF/papierPC7eng.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00353404.

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Date of creation: 2008
Date of revision:
Publication status: Published, Energy Studies Review, 2008, 15, 2, ?
Handle: RePEc:hal:journl:halshs-00353404

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00353404/en/
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Related research

Keywords: oil prices; effective exchange rate; net foreign asset position; cointegration; causality; error correction model;

References

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  1. Frankel, Jeffrey, 2003. "A Proposed Monetary Regime for Small Commodity-Exporters: Peg the Export Price ("PEP")," Working Paper Series, Harvard University, John F. Kennedy School of Government rwp03-003, Harvard University, John F. Kennedy School of Government.
  2. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-94, November.
  3. Selahattin Dibooglu, 1995. "Real Disturbances, Relative Prices, and Purchasing Power Parity," International Finance, EconWPA 9502002, EconWPA.
  4. Robert A. Amano & Simon van Norden, 1995. "Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate," International Finance, EconWPA 9502001, EconWPA.
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  6. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  7. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  8. Adrian W. Throop, 1993. "A generalized uncovered interest parity model of exchange rates," Economic Review, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, pages 3-16.
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