Oil prices and effective dollar exchange rates

Joscha Beckmann and Robert Czudaj

International Review of Economics & Finance, 2013, vol. 27, issue C, 621-636

Abstract: 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.

Keywords: Cointegration; Error correction; Oil price; Effective exchange rates; Markov-switching (search for similar items in EconPapers)
JEL-codes: E31 F31 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (87)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:27:y:2013:i:c:p:621-636

DOI: 10.1016/j.iref.2012.12.002

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