Cointegration test of oil price and us dollar exchange rates for some oil dependent economies

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51 Citations (Scopus)

Abstract

This study examines the long-run dynamics between oil price and the bilateral US dollar exchange rates for a group of oil-dependent economies before and after the 2008–2009 Global Financial Crises. Exchange rates are for the euro, Indian rupee, Russian ruble, South African rand, Ghanaian cedi and the Nigerian naira. The dependence on crude oil of these economies is either because fiscal revenues are primarily reliant on oil export receipts or because industrial production is heavily dependent on petroleum. Empirical results show evidence of a long run equilibrium relationship between oil price and exchange rate, especially for currencies of the key oil-exporting countries. This relationship is more evident in the post crisis period, which is also the period when both exchange rate volatility and the inverse relationship between oil price and exchange rate experienced a significant increase.

Original languageEnglish
Pages (from-to)304-311
Number of pages8
JournalResearch in International Business and Finance
Volume42
DOIs
Publication statusPublished - Dec 2017
Externally publishedYes

Keywords

  • Causality
  • Cointegration
  • Exchange rate
  • Long-run relationship
  • Oil price

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