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Oil prices and effective dollar exchange rates

  • Beckmann, Joscha
  • Czudaj, Robert

This study takes into account two previously neglected issues in its analysis of the relationship between oil prices and effective dollar exchange rates, namely, nonlinear adjustment dynamics and a distinction between nominal and real linkages. Beginning with a careful investigation of different subsets, and using a Markov-switching vector error correction model, we are able to discriminate long-run and time-varying short-run dynamics. Our findings show not only that the results depend on the choice of the exchange rate measure, but also that the time-varying causality patterns mainly runs from nominal exchange rates to nominal oil prices.

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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 27 (2013)
Issue (Month): C ()
Pages: 621-636

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Handle: RePEc:eee:reveco:v:27:y:2013:i:c:p:621-636
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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