Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach
AbstractWe test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship between real exchange rates and real oil prices in all countries, suggesting a strong support for the Dutch disease hypothesis.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 13435.
Date of creation: 28 Dec 2008
Date of revision:
Oil Prices; Real Exchange Rates; Dutch Disease; Cointegration; Autoregressive Distributed Lags;
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
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-22 (All new papers)
- NEP-ARA-2009-02-22 (MENA - Middle East & North Africa)
- NEP-CBA-2009-02-22 (Central Banking)
- NEP-ENE-2009-02-22 (Energy Economics)
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