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The relationship between oil prices and exchange rates: Revisiting theory and evidence

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  • Beckmann, Joscha
  • Czudaj, Robert L.
  • Arora, Vipin

Abstract

This paper reviews existing theoretical and empirical research on the relationship between oil prices and exchange rates. We start with theoretical transmission channels—which point to bi-directional causality. Empirical research is classified and shows that the evidence varies substantially depending on sample, country choice and empirical method. Yet there are some common patterns: (i) strong links between exchange rates and oil prices are frequently observed over the long-run; and (ii) either exchange rates or oil prices are a potentially useful predictor of the other variable in the short-run, but the effects are strongly time-varying. We also identify some important avenues for future research.

Suggested Citation

  • Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    • Handle: RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301122
    DOI: 10.1016/j.eneco.2020.104772
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    Keywords

    Oil price; Exchange rate; Forecasting;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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