Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach

Mohammad Jahan-Parvar and Hassan Mohammadi (bio) ()
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Hassan Mohammadi (bio): East Carolina University, USA

Journal of Developing Areas, 2011, vol. 45, issue 1, 313-322

Abstract: We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship between real exchange rates and real oil prices in all countries, suggesting a strong support for the Dutch disease hypothesis. As for short-run, there are evidence of causality from oil prices to exchange rates in four countries; from exchange rates to oil prices in two countries; and bidirectional relations in another four countries. There is no evidence of causality in the remaining four countries.

Keywords: Oil prices; Real exchange rates; Dutch disease; Cointegration; Autoregressive distributed lags (search for similar items in EconPapers)
JEL-codes: C32 C52 F31 F37 F47 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (13)

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Working Paper: Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:jda:journl:vol.45:year:2011:issue1:pp:313-322

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