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Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach

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  • Jahan-Parvar, Mohammad R.
  • Mohammadi, Hassan

Abstract

We 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13435.

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Date of creation: 28 Dec 2008
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Handle: RePEc:pra:mprapa:13435

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Keywords: Oil Prices; Real Exchange Rates; Dutch Disease; Cointegration; Autoregressive Distributed Lags;

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References

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  1. Brunstad, Rolf Jens & Dyrstad, Jan Morten, 1997. "Booming Sector and Wage Effects: An Empirical Analysis on Norwegian Data," Oxford Economic Papers, Oxford University Press, vol. 49(1), pages 89-103, January.
  2. Bruno, Michael & Sachs, Jeffrey, 1982. "Energy and Resource Allocation: A Dynamic Model of the "Dutch Disease"," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(5), pages 845-59, Special I.
  3. Edwards, Sebastian & Aoki, Masanao, 1983. "Oil export boom and Dutch-disease : A dynamic analysis," Resources and Energy, Elsevier, Elsevier, vol. 5(3), pages 219-242, September.
  4. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers, Princeton, Department of Economics - Econometric Research Program 350, Princeton, Department of Economics - Econometric Research Program.
  5. Edwards, Sebastian, 1984. "Coffee, money and inflation in Colombia," World Development, Elsevier, vol. 12(11-12), pages 1107-1117.
  6. Gregory, R.G., 1976. "Some Implications Of The Growth Of The Mineral Sector," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 20(02), August.
  7. Mohammad R. Jahan-Parvar & Hassan Mohammadi, 2009. "Oil prices and competitiveness: time series evidence from six oil-producing countries," Journal of Economic Studies, Emerald Group Publishing, vol. 36(1), pages 98-118, January.
  8. Fardmanesh, Mohsen, 1991. "Dutch disease economics and oil syndrome: An empirical study," World Development, Elsevier, vol. 19(6), pages 711-717, June.
  9. Corden, W Max & Neary, J Peter, 1982. "Booming Sector and De-Industrialisation in a Small Open Economy," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 92(368), pages 825-48, December.
  10. Torvik, Ragnar, 2001. "Learning by doing and the Dutch disease," European Economic Review, Elsevier, vol. 45(2), pages 285-306, February.
  11. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  12. Michael Bruno & Jeffrey Sachs, 1982. "Energy and Resource Allocation: A Dynamic Model of the "Dutch Disease"," NBER Working Papers 0852, National Bureau of Economic Research, Inc.
  13. P J Forsyth & J A Kay, 1980. "The economic implications of North Sea Oil Revenues," Fiscal Studies, Institute for Fiscal Studies, vol. 1(3), pages 1-28, July.
  14. Eastwood, R K & Venables, A J, 1982. "The Macroeconomic Implications of a Resource Discovery in an Open Economy," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 92(366), pages 285-99, June.
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Cited by:
  1. Hasanov Fakhri, 2011. "Analyzing price level in a booming economy: the case of Azerbaijan," EERC Working Paper Series 11/02e, EERC Research Network, Russia and CIS.
  2. Fakhri Hasanov, 2010. "The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan," Discussion Papers of DIW Berlin 1041, DIW Berlin, German Institute for Economic Research.
  3. Benedictow, Andreas & Fjærtoft, Daniel & Løfsnæs, Ole, 2013. "Oil dependency of the Russian economy: An econometric analysis," Economic Modelling, Elsevier, vol. 32(C), pages 400-428.
  4. Hasanov, Fakhri & Huseynov, Fariz, 2013. "Bank credits and non-oil economic growth: Evidence from Azerbaijan," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 597-610.

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