Reassessing the empirical relationship between the oil price and the dollar
This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974–2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil pr...
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| Veröffentlicht in: | Energy policy 2016-08, Vol.95, p.147-157 |
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| creator | Coudert, Virginie Mignon, Valérie |
| description | This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974–2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil price. However, the same relationship is found positive when ending the sample in the mid-2000s, in line with the previous literature. To understand and investigate this evolution, we rely on a nonlinear, smooth transition regression model in which the oil price-dollar nexus depends on the dynamics followed by the U.S. currency. Our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values, as in the early eighties.
•We reassess the relationship between the real oil price and the dollar over the 1974–2015 period.•Changes in the two variables are linked by a negative relationship over the whole period.•The link between both variables is positive over the subsample ending in the mid-2000s.•We estimate a nonlinear model in which the oil price-dollar nexus depends on the evolution the dollar.•The relationship is negative most of the times, except when the dollar hits very high values. |
| doi_str_mv | 10.1016/j.enpol.2016.05.002 |
| format | Article |
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•We reassess the relationship between the real oil price and the dollar over the 1974–2015 period.•Changes in the two variables are linked by a negative relationship over the whole period.•The link between both variables is positive over the subsample ending in the mid-2000s.•We estimate a nonlinear model in which the oil price-dollar nexus depends on the evolution the dollar.•The relationship is negative most of the times, except when the dollar hits very high values.</description><identifier>ISSN: 0301-4215</identifier><identifier>EISSN: 1873-6777</identifier><identifier>DOI: 10.1016/j.enpol.2016.05.002</identifier><identifier>CODEN: ENPYAC</identifier><language>eng</language><publisher>Kidlington: Elsevier Ltd</publisher><subject>American dollar ; American history ; Causality ; Crude oil prices ; Currencies ; Currency exchange rate ; Dollar real effective exchange rate ; Economics and Finance ; Foreign exchange rates ; Humanities and Social Sciences ; Monetary theory ; Money ; Nonlinearity ; Oil ; Oil price ; Petroleum ; Prices ; Regression analysis ; Regression models ; Studies ; Values</subject><ispartof>Energy policy, 2016-08, Vol.95, p.147-157</ispartof><rights>2016 Elsevier Ltd</rights><rights>Copyright Elsevier Science Ltd. Aug 2016</rights><rights>Distributed under a Creative Commons Attribution 4.0 International License</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c497t-bb38d7e99175c46376dc4447326268a62294188c36905a87f36719bf4f90e3013</citedby><cites>FETCH-LOGICAL-c497t-bb38d7e99175c46376dc4447326268a62294188c36905a87f36719bf4f90e3013</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.enpol.2016.05.002$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>230,314,780,784,885,3550,27866,27924,27925,45995</link.rule.ids><backlink>$$Uhttps://hal.parisnanterre.fr/hal-01386047$$DView record in HAL$$Hfree_for_read</backlink></links><search><creatorcontrib>Coudert, Virginie</creatorcontrib><creatorcontrib>Mignon, Valérie</creatorcontrib><title>Reassessing the empirical relationship between the oil price and the dollar</title><title>Energy policy</title><description>This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974–2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil price. However, the same relationship is found positive when ending the sample in the mid-2000s, in line with the previous literature. To understand and investigate this evolution, we rely on a nonlinear, smooth transition regression model in which the oil price-dollar nexus depends on the dynamics followed by the U.S. currency. Our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values, as in the early eighties.
•We reassess the relationship between the real oil price and the dollar over the 1974–2015 period.•Changes in the two variables are linked by a negative relationship over the whole period.•The link between both variables is positive over the subsample ending in the mid-2000s.•We estimate a nonlinear model in which the oil price-dollar nexus depends on the evolution the dollar.•The relationship is negative most of the times, except when the dollar hits very high values.</description><subject>American dollar</subject><subject>American history</subject><subject>Causality</subject><subject>Crude oil prices</subject><subject>Currencies</subject><subject>Currency exchange rate</subject><subject>Dollar real effective exchange rate</subject><subject>Economics and Finance</subject><subject>Foreign exchange rates</subject><subject>Humanities and Social Sciences</subject><subject>Monetary theory</subject><subject>Money</subject><subject>Nonlinearity</subject><subject>Oil</subject><subject>Oil price</subject><subject>Petroleum</subject><subject>Prices</subject><subject>Regression analysis</subject><subject>Regression models</subject><subject>Studies</subject><subject>Values</subject><issn>0301-4215</issn><issn>1873-6777</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNp9kE1LxDAQhoMouH78Ai8FTx5akyZN0oOHZVFXXBBEzyFNp25Kt6lJd8V_b7orHj0NMzzvMPMgdEVwRjDht20G_eC6LI9NhosM4_wIzYgUNOVCiGM0wxSTlOWkOEVnIbQYYyZLNkPPr6BDgBBs_5GMa0hgM1hvje4SD50erevD2g5JBeMXQL9HnO2SITKQ6L7eT2rXddpfoJNGdwEuf-s5en-4f1ss09XL49NivkoNK8WYVhWVtYCyJKIwjFPBa8MYEzTnOZea53nJiJSG8hIXWoqGckHKqmFNiSG-Qc_RzWHvWncqHrLR_ls5bdVyvlLTLDKSYyZ2E3t9YAfvPrcQRtW6re_jeYpIwnkRxdBI0QNlvAvBQ_O3lmA1GVat2htWk2GFCxUNx9TdIQXx2Z0Fr4Kx0BuorQczqtrZf_M_CMmCxg</recordid><startdate>20160801</startdate><enddate>20160801</enddate><creator>Coudert, Virginie</creator><creator>Mignon, Valérie</creator><general>Elsevier Ltd</general><general>Elsevier Science Ltd</general><general>Elsevier</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7SP</scope><scope>7TA</scope><scope>7TB</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>DHY</scope><scope>DON</scope><scope>F28</scope><scope>FQK</scope><scope>FR3</scope><scope>H8D</scope><scope>JBE</scope><scope>JG9</scope><scope>KR7</scope><scope>L7M</scope><scope>1XC</scope><scope>BXJBU</scope><scope>IHQJB</scope><scope>VOOES</scope></search><sort><creationdate>20160801</creationdate><title>Reassessing the empirical relationship between the oil price and the dollar</title><author>Coudert, Virginie ; Mignon, Valérie</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c497t-bb38d7e99175c46376dc4447326268a62294188c36905a87f36719bf4f90e3013</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>American dollar</topic><topic>American history</topic><topic>Causality</topic><topic>Crude oil prices</topic><topic>Currencies</topic><topic>Currency exchange rate</topic><topic>Dollar real effective exchange rate</topic><topic>Economics and Finance</topic><topic>Foreign exchange rates</topic><topic>Humanities and Social Sciences</topic><topic>Monetary theory</topic><topic>Money</topic><topic>Nonlinearity</topic><topic>Oil</topic><topic>Oil price</topic><topic>Petroleum</topic><topic>Prices</topic><topic>Regression analysis</topic><topic>Regression models</topic><topic>Studies</topic><topic>Values</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Coudert, Virginie</creatorcontrib><creatorcontrib>Mignon, Valérie</creatorcontrib><collection>CrossRef</collection><collection>Electronics & Communications Abstracts</collection><collection>Materials Business File</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Technology Research Database</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>ANTE: Abstracts in New Technology & Engineering</collection><collection>International Bibliography of the Social Sciences</collection><collection>Engineering Research Database</collection><collection>Aerospace Database</collection><collection>International Bibliography of the Social Sciences</collection><collection>Materials Research Database</collection><collection>Civil Engineering Abstracts</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Hyper Article en Ligne (HAL)</collection><collection>HAL-SHS: Archive ouverte en Sciences de l'Homme et de la Société</collection><collection>HAL-SHS: Archive ouverte en Sciences de l'Homme et de la Société (Open Access)</collection><collection>Hyper Article en Ligne (HAL) (Open Access)</collection><jtitle>Energy policy</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Coudert, Virginie</au><au>Mignon, Valérie</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Reassessing the empirical relationship between the oil price and the dollar</atitle><jtitle>Energy policy</jtitle><date>2016-08-01</date><risdate>2016</risdate><volume>95</volume><spage>147</spage><epage>157</epage><pages>147-157</pages><issn>0301-4215</issn><eissn>1873-6777</eissn><coden>ENPYAC</coden><abstract>This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974–2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil price. However, the same relationship is found positive when ending the sample in the mid-2000s, in line with the previous literature. To understand and investigate this evolution, we rely on a nonlinear, smooth transition regression model in which the oil price-dollar nexus depends on the dynamics followed by the U.S. currency. Our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values, as in the early eighties.
•We reassess the relationship between the real oil price and the dollar over the 1974–2015 period.•Changes in the two variables are linked by a negative relationship over the whole period.•The link between both variables is positive over the subsample ending in the mid-2000s.•We estimate a nonlinear model in which the oil price-dollar nexus depends on the evolution the dollar.•The relationship is negative most of the times, except when the dollar hits very high values.</abstract><cop>Kidlington</cop><pub>Elsevier Ltd</pub><doi>10.1016/j.enpol.2016.05.002</doi><tpages>11</tpages><oa>free_for_read</oa></addata></record> |
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| source | PAIS Index; Access via ScienceDirect (Elsevier) |
| subjects | American dollar American history Causality Crude oil prices Currencies Currency exchange rate Dollar real effective exchange rate Economics and Finance Foreign exchange rates Humanities and Social Sciences Monetary theory Money Nonlinearity Oil Oil price Petroleum Prices Regression analysis Regression models Studies Values |
| title | Reassessing the empirical relationship between the oil price and the dollar |
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