{"title":"油价与美元汇率:来自货币模型的证据","authors":"Moayad H. Al Rasasi","doi":"10.5296/RAE.V10I4.14076","DOIUrl":null,"url":null,"abstract":"This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.","PeriodicalId":225665,"journal":{"name":"Research in Applied Economics","volume":"91 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model\",\"authors\":\"Moayad H. Al Rasasi\",\"doi\":\"10.5296/RAE.V10I4.14076\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.\",\"PeriodicalId\":225665,\"journal\":{\"name\":\"Research in Applied Economics\",\"volume\":\"91 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-12-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Research in Applied Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5296/RAE.V10I4.14076\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in Applied Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5296/RAE.V10I4.14076","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model
This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.
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