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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)

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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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Publisher Info
Paper provided by HAL in its series Post-Print with number halshs-00353404_v1.

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Date of creation: 2008
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Publication status: Published, Energy Studies Review, 2008, 15, 2, ?
Handle: RePEc:hal:journl:halshs-00353404_v1

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 listed on IDEAS
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  1. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Blackwell Publishing, vol. 6(4), pages 683-94, November.
    Other versions:
  2. 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.
  3. Adrian W. Throop, 1993. "A generalized uncovered interest parity model of exchange rates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-16. [Downloadable!]
  4. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June. [Downloadable!] (restricted)
  5. Robert A. Amano & Simon van Norden, 1995. "Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate," International Finance 9502001, EconWPA. [Downloadable!]
    Other versions:
  6. Frankel, Jeffrey, 2003. "A Proposed Monetary Regime for Small Commodity-Exporters: Peg the Export Price ("PEP")," Working Paper Series rwp03-003, Harvard University, John F. Kennedy School of Government. [Downloadable!]
    Other versions:
  7. Selahattin Dibooglu, 1995. "Real Disturbances, Relative Prices, and Purchasing Power Parity," International Finance 9502002, EconWPA. [Downloadable!]
    Other versions:
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.


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