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Estimation of Long-run Relationship between Crude Oil and US’ Dollar Value: A Cointegration Analysis
Corresponding Author : Rahmanifard، Davood ؛ Writer : Safarzadeh، Esmaeel ؛ Zeinali، Leila ؛
Journal:International Journal of Management, Accounting and Economics»February 2016, Volume 3 - Number 19 (16 page(s) - From 123 to 138 )
Keywords:Crude oil price and US dollar value are the two critical economic variables influencing global economy. The purpose of this research is to study the sustained long-run relationship between these two variables. The fact that Crude oil price is determisince 1970underwent many changes at international markets raised this question that what is the relationship between these two variables. For this purposeco-integration and causality tests were used for variables within 1990-2013. Research results show that there is a negative relationship between crude oil price and dollar value such that if the real price of crude oil increases up to 10dollar real value decreases to 1. 7. Causality direction is from oil price variable to US dollar price. In additionestimating short-term error correction relationship for dollar exchange rate long-run equationit is seen that if dollar real exchange rate deviates from its long-run trendthe gap will be restored at 4. 1rate per period as long as returning to the very long-run path