Crude Oil Prices and the USD/EUR Exchange Rate

Andreas Breitenfellner and Jesus Crespo Cuaresma

Monetary Policy & the Economy, 2008, issue 4

Abstract: This paper investigates the impact of changes in the U.S. dollar/euro exchange rate on crude oil prices. The negative correlation of these two variables is ascribed to five possible channels: on the supply side, the purchasing power of oil export revenues and on the demand side, local prices in non-U.S. dollar regions, investments in crude oil-related asset markets, the monetary policy regime in oil-exporting countries and the efficiency of the currency market. We give evidence that using information on the U.S. dollar/euro exchange rate (and its determinants) significantly improves oil price forecasts. We discuss the possible implications these results might suggest with regard to the stabilization of oil prices or the adjustment of global imbalances.

Keywords: oil price; exchange rate; forecasting; multivariate time series models (search for similar items in EconPapers)
JEL-codes: C53 F31 Q43 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
https://www.oenb.at/dam/jcr:3fc304e2-39dc-4770-b89 ... s_01_tcm16-97551.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:onb:oenbmp:y:2008:i:4:b:6

Ordering information: This journal article can be ordered from
Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria

The price is 102–121.

Access Statistics for this article

Monetary Policy & the Economy is currently edited by Gerhard Fenz and Maria Teresa Valderrama

More articles in Monetary Policy & the Economy from Oesterreichische Nationalbank (Austrian Central Bank) P.O. Box 61, A-1011 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Rita Glaser-Schwarz ().