Real effective exchange rate: is it influenced by the oil price?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906925" target="_blank" >RIV/62156489:43110/15:43906925 - isvavai.cz</a>
Result on the web
<a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Real effective exchange rate: is it influenced by the oil price?
Original language description
This paper employs co-integration and causality tests to investigate the influence of real crude oil price on the real effective exchange rates of USA and Eurozone during the sample period 1998-2014 in monthly frequency. The paper contributes to the literature by including both monetary and real exchange rate channel for the oil price effects propagation into the economy, as well as the inclusion of non-linear measure of oil-price and the realized oil price volatility measure. Results show no co-integration between real exchange rates, either in US or Eurozone, even though there is a causal link from real effective US dollar exchange rate to Brent oil price. In our sample, the measures of oil volatility do not provide any improvement of the estimationand show no causal links with real exchange rates in US and Eurozone.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Enterprise and Competitive Environment: Conference Proceedings
ISBN
978-80-7509-342-4
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
246-256
Publisher name
Mendelova univerzita v Brně
Place of publication
Brno
Event location
Brno
Event date
Mar 5, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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