Oil prices and the US effective exchange rate: A hidden cointegration analysis

Panagiotis Rafailidis and Constantinos Katrakilidis

Economics and Business Letters, 2016, vol. 5, issue 4, 134-144

Abstract: We investigate the long-run relationship between the US Dollar effective exchange and the oil prices (wti) over the period from January 1986 to August 2014. We allow for the relationship to be nonlinear by employing the hidden cointegration technique of Granger and Yoon (2002) and Schorderet (2004). The Quandt – Andrews approach allows accounting for structural breaks. The results reveal a long-run relationship between the two markets.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://reunido.uniovi.es/index.php/EBL/article/view/11250 (text/html)

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:ove:journl:aid:11250

Access Statistics for this article

Economics and Business Letters is currently edited by Francisco J. Delgado

More articles in Economics and Business Letters from Oviedo University Press Contact information at EDIRC.
Bibliographic data for series maintained by Francisco J. Delgado (fdelgado@uniovi.es).