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Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach

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  • Jahan-Parvar, Mohammad R.
  • Mohammadi, Hassan

Abstract

We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship between real exchange rates and real oil prices in all countries, suggesting a strong support for the Dutch disease hypothesis.

Suggested Citation

  • Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2008. "Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach," MPRA Paper 13435, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:13435
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Oil Prices; Real Exchange Rates; Dutch Disease; Cointegration; Autoregressive Distributed Lags;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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