TY - JOUR
T1 - Crude oil prices and exchange rates
T2 - Causality, variance decomposition and impulse response
AU - Brahmasrene, Tantatape
AU - Huang, Jui Chi
AU - Sissoko, Yaya
PY - 2014/7
Y1 - 2014/7
N2 - This paper examines the short-run and long-run dynamic relationship between the U.S. imported crude oil prices and exchange rates. The monthly data of the U.S. crude oil imports from five source countries during January 1996 and December 2009 are examined. Empirical results indicate that the exchange rates Granger-caused crude oil prices in the short run while the crude oil prices Granger-caused the exchange rates in the long run. Furthermore, oil prices were affected by the exchange rate changes at a minimal level. However, in the medium run and the long run, oil price shocks had a significant impact on exchange rate changes. Exchange rate shock has a significant negative impact on crude oil prices while the impulse response of the exchange rate variable to a crude oil price shock was statistically insignificant. Finally, the impact of extreme price volatility in June 2008 on exchange rates was significant. When world oil prices are stabilized, currency fluctuations and uncertainty can be minimized.
AB - This paper examines the short-run and long-run dynamic relationship between the U.S. imported crude oil prices and exchange rates. The monthly data of the U.S. crude oil imports from five source countries during January 1996 and December 2009 are examined. Empirical results indicate that the exchange rates Granger-caused crude oil prices in the short run while the crude oil prices Granger-caused the exchange rates in the long run. Furthermore, oil prices were affected by the exchange rate changes at a minimal level. However, in the medium run and the long run, oil price shocks had a significant impact on exchange rate changes. Exchange rate shock has a significant negative impact on crude oil prices while the impulse response of the exchange rate variable to a crude oil price shock was statistically insignificant. Finally, the impact of extreme price volatility in June 2008 on exchange rates was significant. When world oil prices are stabilized, currency fluctuations and uncertainty can be minimized.
UR - http://www.scopus.com/inward/record.url?scp=84903163747&partnerID=8YFLogxK
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U2 - 10.1016/j.eneco.2014.05.011
DO - 10.1016/j.eneco.2014.05.011
M3 - Article
AN - SCOPUS:84903163747
SN - 0140-9883
VL - 44
SP - 407
EP - 412
JO - Energy Economics
JF - Energy Economics
ER -