Oil Price and the Dollar

Virginie Coudert, Valérie Mignon () and Alexis Penot
Additional contact information
Virginie Coudert: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Alexis Penot: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: The aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position.

Keywords: oil prices; effective exchange rate; net foreign asset position; cointegration; causality; error correction model (search for similar items in EconPapers)
Date: 2008
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00353404
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (81)

Published in Energy Studies Review, 2008, 15 (2)

Downloads: (external link)
https://shs.hal.science/halshs-00353404/document (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:hal:journl:halshs-00353404

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().