Accéder directement au contenu Accéder directement à la navigation
Pré-publication, Document de travail

On the link between oil price and exchange rate : A time-varying VAR parameter approach: Cahiers de l'Economie, Série Recherche, n° 99

Abstract : The aim of this paper is to study the relationship between the effective exchange rate of the dollar and the oil price dynamics from 1976 to 2013. In this context, we propose to explore the economic literature dedicated to financial channels factors (exchange rate, monetary policy, and international liquidity) that could affect the oil price dynamics. In addition to oil prices and the effective exchange rate of the dollar, we use the dry cargo index as a proxy for the real economic activity and prices for precious and industrial raw materials. Using a Bayesian time-varying parameter vector auto-regressive estimation, our main results show that the US Dollar effective exchange rate elasticity of the crude oil prices is not constant across the time and remains negative from 1989. It then highlights that a depreciation of the effective exchange rate of the dollar leads to an increase of the crude oil prices. Our paper also demonstrates the growing influence of financial and commodities markets development upon the global economy.
Type de document :
Pré-publication, Document de travail
Liste complète des métadonnées

https://hal-ifp.archives-ouvertes.fr/hal-03206684
Contributeur : Nadine Couëdel <>
Soumis le : vendredi 23 avril 2021 - 14:31:15
Dernière modification le : mercredi 28 avril 2021 - 14:30:01
Archivage à long terme le : : samedi 24 juillet 2021 - 18:41:52

Fichier

Cahier99.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-03206684, version 1

Citation

Vincent Brémond, Emmanuel Hache, Tovonony Razafindrabe. On the link between oil price and exchange rate : A time-varying VAR parameter approach: Cahiers de l'Economie, Série Recherche, n° 99. 2015. ⟨hal-03206684⟩

Partager

Métriques

Consultations de la notice

61

Téléchargements de fichiers

8