KRKOŠKOVÁ, Radmila. RELATIONSHIP BETWEEN THE BRENT OIL PRICE AND THE US DOLLAR EXCHANGE RATE. Prague Economic Papers. 2020, Neuveden, No 2020, p. 187-206. ISSN 1210-0455. Available from: https://dx.doi.org/10.18267/j.pep.718.
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Basic information
Original name RELATIONSHIP BETWEEN THE BRENT OIL PRICE AND THE US DOLLAR EXCHANGE RATE
Authors KRKOŠKOVÁ, Radmila (203 Czech Republic, guarantor, belonging to the institution).
Edition Prague Economic Papers, 2020, 1210-0455.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/20:A0000126
Organization unit School of Business Administration in Karvina
Doi http://dx.doi.org/10.18267/j.pep.718
UT WoS 000527253200003
Keywords in English ADF test;Brent;Granger causality; Johansen test; US dollar; VECM
Changed by Changed by: Mgr. Radmila Krkošková, Ph.D., učo 48703. Changed: 25/10/2020 07:20.
Abstract
This article deals with an analysis of the relationship between the Brent oil price and the US dollar price. This paper analyses the development of the intensity and direction of dependence between the nominal effective exchange rate of the US dollar and the price of Brent oil and other commodities, such as industrial metals, agricultural commodities, gold (including jewellery and platinum) in the period from January 1994 to April 2018. The next section tests the hypothesis that there is a short-term relationship between the effective US dollar exchange rate and the oil price. The last part of the article deals with the question whether there is a long-term relationship between these variables: Brent oil price, effective exchange rate of the US dollar, industrial production index in OECD countries, three-month treasury bill, US ending stocks of crude oil, US percent utilization of refinery operable capacity and the price of ethanol.
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