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Oil Price and the Dollar

  • Virginie Coudert

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

  • Valérie Mignon

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

  • Alexis Penot

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

The aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position.

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Paper provided by HAL in its series Post-Print with number halshs-00353404.

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Date of creation: 2008
Date of revision:
Publication status: Published, Energy Studies Review, 2008, 15, 2, ?
Handle: RePEc:hal:journl:halshs-00353404
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00353404/en/
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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Dibooglu, Selahattin, 1996. "Real disturbances, relative prices and purchasing power parity," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 69-87.
  3. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-94, November.
  4. Robert A. Amano & Simon van Norden, 1995. "Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate," International Finance 9502001, EconWPA.
  5. Frankel, Jeffrey, 2003. "A Proposed Monetary Regime for Small Commodity Exporters: Peg the Export Price ('PEP')," International Finance, Wiley Blackwell, vol. 6(1), pages 61-88, Spring.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  7. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  8. Adrian W. Throop, 1993. "A generalized uncovered interest parity model of exchange rates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-16.
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