Cointegration Analysis on the Impact of Dollar Exchange Rate Change to International Oil Prices

Author

Peng Min ; Sun Yanbin

Author_Institution

Sch. of Econ. & Manage., Daqing Pet. Inst., Daqing, China

fYear

2009

fDate

20-22 Sept. 2009

Firstpage

1

Lastpage

4

Abstract

To study the relationship of the international crude oil spot price and U.S. dollar, we carried on root test and cointegration test on the weekly data of international crude oil spot price and U.S. dollar index from 2002 to 2008, and the results show that there exists equilibrium relationship of long-term negative correlation between international crude oil spot price change and the U.S. dollar index; error correction shows that the dollar index´s long-run equilibrium has little effect on short-term fluctuation of international crude oil spot prices; Granger causality test shows that there is a one-way Granger causality between them; impulse response and variance decomposition shows that other factors has a significant effect on the international crude oil spot prices.

Keywords

crude oil; exchange rates; international trade; pricing; Granger causality test; cointegration analysis; dollar exchange rate; equilibrium relationship; error correction; impulse response; international crude oil spot price; long-term negative correlation; short-term fluctuation; variance decomposition; Analysis of variance; Contracts; Error correction; Exchange rates; Fluctuations; Fuel economy; Impulse testing; Petroleum; Stability; Sun;

fLanguage

English

Publisher

ieee

Conference_Titel

Management and Service Science, 2009. MASS '09. International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-4638-4

Electronic_ISBN

978-1-4244-4639-1

Type

conf

DOI

10.1109/ICMSS.2009.5301052

Filename

5301052