estimation of long-run relationship between crude oil price and real exchange rate of us dollar

Investigating the Short- run and Long-run Causality Relationship between the Exchange Rate Regime and the Real Exchange Rate Misalignment in the OPEC Countries

Real exchange rate misalignment means that the real exchange rate deviates from its equilibrium level and is the cause of many domestic and global economic problems. This index is considered as an important indicator in foreign competition and in case of adopting an inappropriate exchange rate regime; it may create economic instability and affect economic performance. This issue is important in...

Investigating the impact of real effective Dollar rate on OPEC oil prices: non-linear asymmetric cointegration approach

The oil price and the real effective exchange rate (REER) are two important variables affecting OPEC countries politics and economy. Despite the fact that the existing theoretical literature confirms the relationship between oil price and the exchange rate (Dollar), there is no consensus about the direction of causality between these two variable. Also, statistical data shows that there is a sy...

Investigating Cointegration and the Causal Relationship Between of Exchange Rate, Oil Price and Gas Price in Regional Markets

Short-term and long-term relationship between exchange rate, oil price and spot gas price of three regional gas markets was investigated using and estimating the Vector Autoregressive model. There is a significant and long-term relationship between variables.Short-term interactions of variables with Granger causality test One-year interaction of variables with intervals of one to twelve months ...

DP 2002 / 02 Modelling the long - run real effective exchange rate of the New Zealand Dollar

Investigation of the Relations between Crude Oil Prices and Real Effective Exchange Rate (REER) in Iran using Phase-Angle Analysis

Abstract: This paper discusses two topics. At first, it uses continuous wavelet (Morlet) transform, coherency, and phase angle analysis to study the effect of mean volatility in OPEC Crude Oil prices, WTI crude oil prices, Brent Crude oil prices and Iran’s crude oil prices on The Iran’s REER. To this end, the monthly data of the variables for years 2003 to 2012 is used. Coherency analysis rev...

Long-Run and Short-Run Causality between Stock Price and Gold Price: Evidence of VECM Analysis from India

The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...