Oil Price and the Dollar

By V. Coudert, Valérie Mignon, Alexis Penot. 2008

143 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/35b1a3d33748b54701c6a896fe37b48f0c108e95

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In Economics and Econometrics

Citations in the corpus

How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “One can relate the linkages between these markets through the portfolio and wealth channel (see Bénassy-Quéré et al., 2007; Buetzer et al., 2012; Coudert et al., 2008; Ding and Vo, 2012; Fedoseeva, 2018; Volkov and Yuhn, 2016), and the terms of trade channel (see Amano and Van Norden, 1998a, 1998b; ”
Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets (2015, unknown): “[13] reconsidered the relationship between oil prices and exchange rate in the case of USA.”
The impact of oil shocks on exchange rates: A Markov-switching approach (2016, background): “Coudert et al. (2008) find that real oil prices, the real US dollar effective exchange rate and US net foreign assets are cointegrated.”
Oil price and exchange rates: A wavelet based analysis for India (2013, background): “The causality indicates that oil prices Granger-cause the exchange rate (see e.g. Bénassy-Quéré et al., 2007; Chaudhuri and Daniel, 1998; Chen and Chen, 2007; Coudert et al., 2008; Lizardo and Mollick, 2010).”
Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate (2013, methodology): “(2007), Coudert et al. (2008), and Ghosh (2011) but contradicts Narayan et al.”