The relationship between oil prices and exchange rates: Revisiting theory and evidence

被引：90
|
作者：
Beckmann, Joscha [1 ,2 ]
Czudaj, Robert L. [3 ,4 ]
Arora, Vipin [5 ]
机构：
[1] Ernst Moritz Arndt Univ Greifswald, Dept Econ, D-17489 Greifswald, Germany
[2] Kiel Inst World Econ, Hindenburgufer 66, D-24105 Kiel, Germany
[3] Tech Univ Chemnitz, Dept Econ & Business, Chair Empir Econ, D-09126 Chemnitz, Germany
[4] Univ Appl Sci, FOM Hsch Oekon & Management, Herkulesstr 32, D-45127 Essen, Germany
[5] US Energy Informat Adm, 1000 Independence Ave SW, Washington, DC 20585 USA
来源：
ENERGY ECONOMICS | 2020年 / 88卷
关键词：
Oil price; Exchange rate; Forecasting; NONLINEAR CAUSALITY; FORECAST; CHINA; COINTEGRATION; SHOCKS; INDIA;
D O I：
10.1016/j.eneco.2020.104772
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper reviews existing theoretical and empirical research on the relationship between oil prices and exchange rates. We start with theoretical transmission channels-which point to bi-directional causality. Empirical research is classified and shows that the evidence varies substantially depending on sample, country choice and empirical method. Yet there are some common patterns: (i) strong links between exchange rates and oil prices are frequently observed over the long-run: and (ii) either exchange rates or oil prices are a potentially useful predictor of the other variable in the short-run, but the effects are strongly time-varying. We also identify some important avenues for future research. (C) 2020 Elsevier B.V. All rights reserved.
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页数：12
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