Journal ArticleDOI
Exchange Rates and Oil Prices
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TLDR
In this paper, a robust and interesting relationship between the real domestic price of oil and real effective exchange rates for Germany, Japan and the United States is investigated, and the authors explain why they think the real oil price captures exogenous terms-of-trade shocks and why such shocks could be the most important factor determining real exchange rates in the long run.Abstract:
The authors document a robust and interesting relationship between the real domestic price of oil and real effective exchange rates for Germany, Japan and the United States. They explain why they think the real oil price captures exogenous terms-of-trade shocks and why such shocks could be the most important factor determining real exchange rates in the long run.read more
Citations
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Journal ArticleDOI
Long-run equilibrium real exchange rates and oil prices
Kausik Chaudhuri,Betty C. Daniel +1 more
TL;DR: Using cointegration and causality tests, this article demonstrated that the nonstationary behavior of US dollar real exchange rates, over the post-Bretton Woods era, is due to the non-stationary behaviour of real oil prices.
Journal ArticleDOI
Striking Oil: Another Puzzle?
TL;DR: In this article, the authors find statistically significant predictability for twelve out of eighteen countries as well as for the world market index for changes in oil prices predict stock market returns worldwide and find no evidence that their results can be explained by time varying risk premia.
Journal ArticleDOI
Oil Price and the Dollar
TL;DR: In this paper, the authors test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms, and conclude 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.
Posted Content
Productivity and the ('Synthetic') Euro-dollar Exchange Rate
TL;DR: In this article, the impact of productivity developments in the United States and the euro area on the eurodollar exchange rate was analyzed using the Johansen cointegration framework, and four Behavioural Equilibrium Exchange Rate models were estimated using four different productivity proxies.
Posted Content
What Determines Real Exchange Rates? The Nordic Countries
TL;DR: In this article, the authors derived testable implications concerning the long-run co-movements of real exchange rates, relative labor productivity, the trade balance and terms of trade.
References
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Book
The Monetary Model of Exchange Rates and Cointegration: Estimation, Testing and Prediction
Javier Gardeazabal,Marta Regúlez +1 more
TL;DR: In this article, the authors present a set of tests for Cointegration using the Engle and Granger Methodology (EGM) and show that the results of these tests can be used to test the effect of non-normal disturbances on the likelihood ratio.