Dollar canadien et prix du pétrole: quelle causalité ?
No 2018-40, EconomiX Working Papers from University of Paris Nanterre, EconomiX
The aim of this paper is to study the relationship between the real price of oil and the real effective exchange rate of the Canadian dollar. Using co-integration techniques, the results suggest that there is a stable long-run relationship between the series and a mean-reverting process of the Canadian exchange rate to its long-term target. In the short term, the change in the Canadian exchange rate is positively determined by its one-period lagged value and the change in the price of oil. Finally, using Granger causality tests, the results show that causality runs from exchange rate to oil price. An appreciation of the Canadian exchange rate results in an increase in the relative demand for oil - the price of oil produced in Canada being relatively more expensive - which in turn generates upward pressure on its price.
Keywords: Oil; Exchange rate; Canada; Co-integration; Error correction model; Granger causality test (search for similar items in EconPapers)
JEL-codes: C22 F31 Q43 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2018-40
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