Oil prices and effective dollar exchange rates

被引：105

作者：

Beckmann, Joscha ^{[1
]}

Czudaj, Robert ^{[2
,3
]}

机构：

[1] Univ Duisburg Essen, Dept Econ, Chair Macroecon, D-45117 Essen, Germany

[2] Univ Duisburg Essen, Dept Econ, Chair Stat & Econometr, D-45117 Essen, Germany

[3] Univ Appl Sci, FOM Hsch Oekon & Management, D-45127 Essen, Germany

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2013年 / 27卷

关键词：

Cointegration; Error correction; Oil price; Effective exchange rates; Markov-switching; TIME-SERIES; UNIT-ROOT; US DOLLAR; COINTEGRATION; INFLATION; PARITY; CHINA; TESTS;

D O I：

10.1016/j.iref.2012.12.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study takes into account two previously neglected issues in its analysis of the relationship between oil prices and effective dollar exchange rates, namely, nonlinear adjustment dynamics and a distinction between nominal and real linkages. Beginning with a careful investigation of different subsets, and using a Markov-switching vector error correction model, we are able to discriminate long-run and time-varying short-run dynamics. Our findings show not only that the results depend on the choice of the exchange rate measure, but also that the time-varying causality patterns mainly runs from nominal exchange rates to nominal oil prices. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：621 / 636

页数：16

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