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Oil price & exchange rate: A comparative study between net oil exporting and net oil importing countries


Azman Aziz, Mukhriz Izraf and Abu Bakar, Nor'Aznin (2011) Oil price & exchange rate: A comparative study between net oil exporting and net oil importing countries. European Journal of Economics, Finance and Administrative Sciences (42). pp. 13-28. ISSN 1450-2275

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Abstract

The goal of this paper is to estimate the long run effects of real oil price and real interest rate differential on real exchange rate for a monthly panel of 8 countries from 1980 to 2008.The modeling exercise follows three steps.In the first step, the paper investigates the integrational properties of the data and finds them to be integrated of order one.In the second step, using several different panel cointegration tests, the paper finds evidence for cointegration among the three variables.In the third step, using pooled mean group estimator, the paper finds a positive and statistically significant impact of real oil price on real exchange rate for net oil importing countries, implying that increase in oil price leads to real exchange rate depreciation.In contrast, there is no evidence of long run relationship between real oil price and real exchange rate in a panel that consists of net oil exporting countries.

Item Type: Article
Uncontrolled Keywords: Oil Price; Exchange Rate; Cointegration
Subjects: H Social Sciences > HF Commerce
Divisions: School of Economics, Finance & Banking
Depositing User: Dr. Mukhriz Izraf Azman Aziz
Date Deposited: 22 May 2013 09:57
Last Modified: 24 Apr 2016 01:30
URI: http://repo.uum.edu.my/id/eprint/7413

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