TY  - CHAP
AB  - Purpose – The purpose of this chapter is to investigate the linear and nonlinear short- and long-run relationships between the real price of oil and the US real effective exchange rate.Methodology/approach – We use recent linear and nonlinear econometric techniques over the period 1973–2009.Findings – Our main findings are that (i) there is significant evidence that both variables contain a unit root; (ii) the oil price and the US exchange rate are strongly linked in the short run; and finally (iii) there are some signs of nonlinearity in the oil–exchange rate relationship.Originality – Using recent econometric techniques, we show that exchange rates are not a fundamental determinant of oil prices but exchange rate changes help to better forecast oil prices in the short run.
VL  - 20
SN  - 978-0-85724-489-5, 978-0-85724-490-1/1571-0386
DO  - 10.1108/S1571-0386(2010)0000020011
UR  - https://doi.org/10.1108/S1571-0386(2010)0000020011
AU  - El Hedi Arouri Mohamed
AU  - Jawadi Fredj
ED  - Fredj Jawadi
ED  - William A. Barnett
PY  - 2010
Y1  - 2010/01/01
TI  - Chapter 6 Oil Prices and Exchange Rates: Some New Evidence Using Linear and Nonlinear Models
T2  - Nonlinear Modeling of Economic and Financial Time-Series
T3  - International Symposia in Economic Theory and Econometrics
PB  - Emerald Group Publishing Limited
SP  - 121
EP  - 141
Y2  - 2024/04/26
ER  -