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Investigating the impact of real effective Dollar rate on OPEC oil prices: non-linear asymmetric cointegration approach
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Faraz Khanbabaei *   1, Kiumars Shahbazi2 |
1- , farazkhanbabaei@gmail.com
2- Urmia University |
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Abstract: (1223 Views) |
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 synchronization between oil price changes and exchange rate. According to the existing literature and empirical literature, the question is whether there is a relationship between the price of OPEC crude oil and the real effective exchange rate in these countries. This research uses OPEC monthly data for the period of 01: 2003 to 11: 2017 and the AECM approach to examine the relationship between the real effective exchange rate in OPEC member countries and OPEC oil prices. To this end, the TAR and MTAR models have been used to examine the asymmetric cointegration effects between variables. Multiple structural breaks were also considered as dummy variables in the DOLS model to determine the long-term relationship. According to the findings of this study, there is a cointegration between variables and this cointegration has been confirmed in symmetric and asymmetric states. Dollar is weakly exogenous and the long- run relationship between the REER and oil prices is negative and asymmetric, but in the short run there is no relationship between these two variables.
JEL Classification: C2, C5, F3, F4
Keywords: Oil Prices, REER, Asymmetric Cointegration.
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| Keywords: Oil Prices, REER, Asymmetric Cointegration. |
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Full-Text [PDF 1425 kb]
(338 Downloads)
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Type of Study: Research |
Subject:
Oil-Market
Received: 2021/10/13 | Accepted: 2022/05/30 | Published: 2022/05/31 | ePublished: 2022/05/31
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