Unité mixte de recherche 7235

Is the oil currency – oil price nexus affected by dollar swings?

Gabriel Gomes

[en]This paper investigates to which extent dollar real exchange rate movements affect the relationship between oil prices and oil currencies. Estimating a panel cointegrating model between the real exchange rate and its drivers for a sample of 11 OPEC countries and 8 major oil-exporting economies over the 1980-2013 period, we find evidence to support the existence of oil currencies. To analyze how dollar movements may affect the oil price – oil currency nexus, we then estimate a panel smooth transition regression model. Results show that beyond a certain threshold for the dollar depreciation, the sign of the relationship between oil prices and oil countries’ exchange rate switches from positive to negative. In fact, when the dollar depreciation is higher than 2.45%, an increase in oil price has a negative impact on oil exporters’ exchange rate. We also re-explore the causality between the USD real exchange rate and the oil price, showing that the causality between the two variables has changed over the period under study. Finally, we investigate how the Fed monetary policy may impact the oil currency – oil price relationship, and find evidence to support that the US policy rate is a key to understand oil currencies movements.[/en]

AGENDA

lundi 5 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Vincent Lefrère (Institut Mines Telecom)

En salle 614 et en distanciel

Privacy, Data and Competition: The Case of Apps For Young Children

mardi 6 décembre 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Eric Monnet (EHESS et PSE)

Le rôle d’amortisseur des banques centrales – une perspective historique

jeudi 8 décembre 2022

Lunch

Georges Prat

12h - 13h, salle 110

Modeling ex-ante risk premiums in the oil market

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

16h-17h

Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022

Doctorants

Pablo Aguilar Perez

TBA

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Lapaty (UPMC)

TBA

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