Estimation of Long-run Relationship between Crude Oil and US’ Dollar Value: A Cointegration Analysis مقاله

نویسنده مسئول: Rahmanifard، Davood ؛

نویسنده: Safarzadeh، Esmaeel ؛ Zeinali، Leila ؛

International Journal of Management, Accounting and Economics February 2016, Volume 3 - Number 19 (‎16 صفحه - از 123 تا 138 )

کلیدواژه ها: 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 determi since 1970 underwent many changes at international markets raised this question that what is the relationship between these two variables. For this purpose co-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 10 dollar real value decreases to 1. 7 . Causality direction is from oil price variable to US dollar price. In addition estimating short-term error correction relationship for dollar exchange rate long-run equation it is seen that if dollar real exchange rate deviates from its long-run trend the gap will be restored at 4. 1 rate per period as long as returning to the very long-run path

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