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Dollar canadien et prix du pétrole : quelle causalité ?

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  • Capucine Nobletz

Abstract

The aim of this paper is to study the relationship between the real price of oil and the real effective exchange rate of the Canadian dollar. Using co-integration techniques, the results suggest that there is a stable long-run relationship between the series and a mean-reverting process of the Canadian exchange rate to its long-term target. In the short term, the change in the Canadian exchange rate is positively determined by its one-period lagged value and the change in the price of oil. Finally, using Granger causality tests, the results show that causality runs from exchange rate to oil price. An appreciation of the Canadian exchange rate results in an increase in the relative demand for oil - the price of oil produced in Canada being relatively more expensive - which in turn generates upward pressure on its price.

Suggested Citation

  • Capucine Nobletz, 2018. "Dollar canadien et prix du pétrole : quelle causalité ?," EconomiX Working Papers 2018-40, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2018-40
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    Keywords

    Oil; Exchange rate; Canada; Co-integration; Error correction model; Granger causality test;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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