The Link Between the Brent Crude Oil Price and the US Dollar Exchange Rate
Growth in the intensity of the inverse relationship between the US dollar exchange rate and the Brent crude oil price has been observed over the last decade. This may be linked, among other things, to the growing role of commodities as an alternative investment instrument at times of excess liquidity and low interest rates on global markets. This analysis examines monthly data from January 1982 to September 2010. Since 2002 the direction of the relationship in the Granger causality sense has been from the dollar exchange rate to the oil price. A weakening of the dollar of 1% causes the Brent oil price to rise by 2.1%. The contrary movements in the Brent oil price and the dollar exchange rate are a factor dampening the impact of sharp fl uctuations in the dollar price of oil on "non-dollar" economies, including the Czech Republic. This dampening effect was clearly visible in the period of sharp oil price growth in 2007 and 2008.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2012 (2012)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: nam. W. Churchilla 4, 130 67 Praha 3|
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC
|Order Information:|| Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic|
Web: http://www.vse.cz/pep/ Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stephen P. A. Brown & Raghav Virmani & Richard Alm, 2008. "Crude awakening: behind the surge in oil prices," Economic Letter, Federal Reserve Bank of Dallas, vol. 3(may).
- Elitza Mileva & Nikolaus Siegfried, 2007.
"Oil market structure, network effects and the choice of currency for oil invoicing,"
Occasional Paper Series
77, European Central Bank.
- Mileva, Elitza & Siegfried, Nikolaus, 2012. "Oil market structure, network effects and the choice of currency for oil invoicing," Energy Policy, Elsevier, vol. 44(C), pages 385-394.
- Rüffer, Rasmus & Stracca, Livio, 2006.
"What is global excess liquidity, and does it matter?,"
Working Paper Series
0696, European Central Bank.
- Rasmus Ruffer & Livio Stracca, 2007. "What is global excess liquidity, and does it matter?," Money Macro and Finance (MMF) Research Group Conference 2006 120, Money Macro and Finance Research Group.
- Agnès Bénassy-Quéré & Valérie Mignon & Alexis Penot, 2005.
"China and the Relationship Between the Oil Price and the Dollar,"
2005-16, CEPII research center.
- Benassy-Quere, Agnes & Mignon, Valerie & Penot, Alexis, 2007. "China and the relationship between the oil price and the dollar," Energy Policy, Elsevier, vol. 35(11), pages 5795-5805, November.
- Agnès Bénassy-Quéré & Valérie Mignon, 2008. "China and the relationship between the oil price and the dollar," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00634796, HAL.
- Alexis Penot & Agnès Bénassy-Quéré & Valérie Mignon, 2007. "China and the relationship between the oil price and the dollar," Post-Print halshs-00201394, HAL.
- Robert A. Amano & Simon van Norden, 1995.
"Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate,"
- Amano, R. A. & van Norden, S., 1998. "Oil prices and the rise and fall of the US real exchange rate," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 299-316, April.
- Jan Hošek & Luboš Komárek & Martin Motl, 2011.
"Měnová politika a cena ropy
[Monetary Policy and Price of Oil]," Politická ekonomie, University of Economics, Prague, vol. 2011(1), pages 22-46.
- van Amano, Robert A & Norden, Simon, 1998.
"Exchange Rates and Oil Prices,"
Review of International Economics,
Wiley Blackwell, vol. 6(4), pages 683-694, November.
- Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
- Chaudhuri, Kausik & Daniel, Betty C., 1998. "Long-run equilibrium real exchange rates and oil prices," Economics Letters, Elsevier, vol. 58(2), pages 231-238, February.
- Jesus Crespo Cuaresma & Andreas Breitenfellner, "undated". "Crude Oil Prices and the Euro-Dollar Exchange Rate: A Forecasting Exercise," Working Papers 2008-08, Faculty of Economics and Statistics, University of Innsbruck.
- Zhang, Yue-Jun & Fan, Ying & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Spillover effect of US dollar exchange rate on oil prices," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 973-991.
- Oxana Babetskaia-Kukharchuk & Ian Babetskii & Jiri Podpiera, 2008. "Convergence in exchange rates: market's view on CE-4 joining EMU," Applied Economics Letters, Taylor & Francis Journals, vol. 15(5), pages 385-390.
- Muñoz, M. Pilar & Dickey, David A., 2009. "Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case," Energy Economics, Elsevier, vol. 31(6), pages 857-866, November.
When requesting a correction, please mention this item's handle: RePEc:prg:jnlpep:v:2012:y:2012:i:2:id:420:p:220-232. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Frantisek Sokolovsky)
If references are entirely missing, you can add them using this form.