THE SURVEY OF LONG-RUN RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF OPEC

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SHAKIBAEI A.R.; AFLATOUNI A.; NIKBAKHT L.

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Paper Information

Journal: KNOWLEDGE AND DEVELOPMENT Year:2009 | Volume:15 | Issue:25 Page(s): 67-85

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Title

THE SURVEY OF LONG-RUN RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF OPEC

Author(s)

SHAKIBAEI A.R. | AFLATOUNI A. | NIKBAKHT L. | Issue Writer Certificate

Keywords

REAL OIL PRICESQ3

REAL EXCHANGE RATESQ3

FIXED EFFECT MODELQ2

RANDOM EFFECT MODELQ3

HAUSMAN TESTQ3

Abstract

In this paper we studied the relationship between oil price and exchange rate in OPEC members. We investigated the long-run relationship between REAL OIL PRICES and REAL EXCHANGE RATES by using a monthly panel of seven countries of OPEC members from 1995:01 to 2006:12. We first test whether exchange rates are cointegrated with REAL OIL PRICES. Stationary and cointegration tests for country-bycountry and pooled series obviously showed the low power of individual country-bycountry tests for unit roots and cointegration. It is shown that REAL OIL PRICES may have been the dominant source of real exchange rate movements. We presented the Restricted Model, FIXED EFFECT MODEL and RANDOM EFFECT MODEL results and select the preferable model by using of Restricted F test, LM test and HAUSMAN TEST. Finally, results show that, there is a long-run link between REAL OIL PRICES and REAL EXCHANGE RATES.

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APA: Copy

SHAKIBAEI, A.R., AFLATOUNI, A., & NIKBAKHT, L.. (2009). THE SURVEY OF LONG-RUN RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF OPEC. KNOWLEDGE AND DEVELOPMENT, 15(25), 67-85. SID. https://sid.ir/paper/75815/en

Vancouver: Copy

SHAKIBAEI A.R., AFLATOUNI A., NIKBAKHT L.. THE SURVEY OF LONG-RUN RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF OPEC. KNOWLEDGE AND DEVELOPMENT[Internet]. 2009;15(25):67-85. Available from: https://sid.ir/paper/75815/en

IEEE: Copy

A.R. SHAKIBAEI, A. AFLATOUNI, and L. NIKBAKHT, “THE SURVEY OF LONG-RUN RELATIONSHIP BETWEEN OIL PRICES AND EXCHANGE RATES: THE CASE OF OPEC,” KNOWLEDGE AND DEVELOPMENT, vol. 15, no. 25, pp. 67–85, 2009, [Online]. Available: https://sid.ir/paper/75815/en

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