179
Views
5
CrossRef citations to date
0
Altmetric
Research Article

Real Exchange Rates, Oil Price Spillover Effects, and Tripolarity

ORCID Icon, ORCID Icon & ORCID Icon

References

  • Akram, Q. F. 2009. “Commodity Prices, Interest Rates and the Dollar.” Energy Economics 31 (6):838–51. doi:10.1016/j.eneco.2009.05.016.
  • Aloui, R., M. S. Ben Aissa, and D. K. Nguyen. 2013. “Conditional Dependence Structure between Oil Prices and Exchange Rates: A copula-GARCH Approach.” Journal of International Money and Finance 32:719–38. doi:10.1016/j.jimonfin.2012.06.006.
  • Amano, R. A., and S. van Norden. 1998. “Oil Prices and the Rise and Fall of the US Real Exchange Rate.” Journal of International Money and Finance 17 (2):299–316. doi:10.1016/S0261-5606(98)00004-7.
  • Backus, D. K., and M. J. Crucini. 2000. “Oil Prices and the Terms of Trade.” Journal of International Economics 50 (1):185–213. doi:10.1016/S0022-1996(98)00064-6.
  • Basher, S. A., A. A. Haug, and P. Sadorsky. 2012. “Oil Prices, Exchange Rates and Emerging Stock Markets.” Energy Economics 34 (1):227–40. doi:10.1016/j.eneco.2011.10.005.
  • Beck, R., and A. Kamps. 2009. “Petrodollars and Imports of Oil Exporting Countries.” Working Paper Series 1012, European Central Bank.
  • Beckmann, J., and R. Czudaj. 2013. “Is There a Homogenous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?” Energy Economics 40:665–78. doi:10.1016/j.eneco.2013.08.007.
  • Brahmasrene, T., J-C Huang, and Y. Sissoko. 2014. “Crude Oil Prices and Exchange Rates: Causality, Variance Decomposition and Impulse Response.” Energy Economics 44:407–12. doi:10.1016/j.eneco.2014.05.011.
  • Breitenfellner, A., and J. C. Cuaresma. 2008. “Crude Oil Prices and the USD/EUR Exchange Rate.” Monetary Policy & the Economy 4:102–21.
  • Brüggemann, R. 2002. “On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR Models.” working paper, Humboldt University, Berlin. edoc.hu-berlin.de/series/sfb-373-papers/2002-2/PDF/2.pdf.
  • Buetzer, S., M. M. Habib, and L. Stracca. 2012. “Global Exchange Rate Configurations. Do Oil Shocks Matter?”, Working Paper Series 1442, European Central Bank.
  • Ca’ Zorzi, M., J. Mućk, and M. Rubaszek. 2016. “Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses.” Open Economies Review 27 (3):585–609. doi:10.1007/s11079-015-9386-4.
  • Chaudhuri, K., B. Daniel. 1998. “Long-run Equilibrium Real Exchange Rates and Oil Prices.” Economics Letters 58 (2):231–38. doi:10.1016/S0165-1765(97)00282-6.
  • Chen, S-S, and H-C. Chen. 2007. “Oil Prices and Real Exchange Rates.” Energy Economics 29 (3):390–404. doi:10.1016/j.eneco.2006.08.003.
  • Clarida, R., and J. Gali. 1994. “Sources of Real Exchange-rate Fluctuations: How Important are Nominal Shocks?” Carnegie-Rochester Conference Series on Public Policy 41:1–56. doi:10.1016/0167-2231(94)00012-3.
  • Clark, P. B., and R. MacDonald. 1998. “Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs.” Working Papers 98/67, International Monetary Fund.
  • Cooper, J. C. B. 2003. “Price Elasticity of Demand for Crude Oil: Estimates for 23 Countries.” OPEC Review 27 (1):1–8. doi:10.1111/1468-0076.00121.
  • Coudert, V., V. Mignon, and A. Penot. 2008. “Oil Price and the Dollar.” Energy Studies Review 15:45–58.
  • Couharde, C., and A. Sallenave. 2013. “How Do Currency Misalignments’ Threshold Affect Economic Growth?” Journal of Macroeconomics 36:106–20. doi:10.1016/j.jmacro.2012.11.002.
  • Dąbrowski, M. A., M. Papież, and S. Śmiech. 2014. “Exchange Rates and Monetary Fundamentals in CEE Countries: Evidence from a Panel Approach.” Journal of Macroeconomics 41:148–59. doi:10.1016/j.jmacro.2014.05.005.
  • Dąbrowski, M. A., M. Papież, and S. Śmiech. 2017. “Uncovering the Link between a Flexible Exchange Rate and Fundamentals: The Case of Central and Eastern European Economies.” Applied Economics 50 (20):2273–96. doi:10.1080/00036846.2017.1394974.
  • de Truchis, G., and B. Keddad. 2016. “On the Risk Comovements between the Crude Oil Market and U.S. Dollar Exchange Rates.” Economic Modelling 52:206–15. doi:10.1016/j.econmod.2014.11.014.
  • Dibooglu, S. 1996. “Real Disturbances, Relative Prices and Purchasing Power Parity.” Journal of Macroeconomics 18 (1):69–87. doi:10.1016/S0164-0704(96)80004-8.
  • Duffie, D. 1999. “Credit Swap Valuation.” Financial Analysts Journal 55 (1):73–87. doi:10.2469/faj.v55.n1.2243.
  • Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. “Efficient Test for an Autoregressive Unit Root.” Econometrica 64 (4):813–36. doi:10.2307/2171846.
  • Ericsson, N. R. 1995. “Conditional and Structural Error Correction Models.” Journal of Econometrics 69 (1):159–71. doi:10.1016/0304-4076(94)01666-N.
  • Fratzscher, M., D. Schneider, and I. V. Robays. 2014. “Oil Prices, Exchange Rates and Asset Prices.” Working Paper Series 1689, European Central Bank.
  • Ghouri, S. S. 2001. “Oil Demand in North America: 1980–2020.” OPEC Review 25 (4):339–55. doi:10.1111/1468-0076.00103.
  • Gianellis, N., and M. Koukouritakis. 2013. “Exchange Rate Misalignment and Inflation Rate Persistence: Evidence from Latin American Countries.” International Review of Economics and Finance 25:202–18. doi:10.1016/j.iref.2012.07.013.
  • Grisse, Ch. 2010. “What Drives the Oil-Dollar Correlation?”, Working Papers, Federal Reserve Bank of New York.
  • Habib, M. M., and J. Stráský. 2008. “Oil Exporters: In Search of an External Anchor.” Working Paper Series 958, European Central Bank.
  • Harbo, L., S. Johansen, B. Nielsen, and A. Rahbek. 1998. “Asymptotic Inference on Cointegrating Rank in Partial System.” Journal of Business and Economic Statistics 16:388–99.
  • Holtemöller, O. 2004. “A Monetary Vector Error Correction Model of the Euro Area and Implications for Monetary Policy.” Empirical Economics 29 (3):553–74. doi:10.1007/s00181-004-0198-4.
  • Hughes, J. E., Ch. R. Knittel, and D. Sperling. 2008. “Evidence of a Shift in the Short-Run Price Elasticity of Gasoline Demand.” The Energy Journal 29 (1):113–34. doi:10.5547/0195-6574-EJ-Vol29-No1-9.
  • Johansen, S. 1996. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.
  • Johansen, S. 2002. “A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model.” Econometrica 70 (5):1929–61. doi:10.1111/1468-0262.00358.
  • Johansen, S., and K. Juselius. 1992. “Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK.” Journal of Econometrics 53 (1–3):211–44. doi:10.1016/0304-4076(92)90086-7.
  • Johansen, S., R. Mosconi, and B. Nielsen. 2000. “Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.” Econometrics Journal 3 (2):216–49. doi:10.1111/1368-423X.00047.
  • Juselius, K., and R. MacDonald. 2000. “International Parity Relationships between Germany and the United States: A Joint Modelling Approach.” Discussion Paper 00-10, University of Copenhagen.
  • Juselius, K., and R. MacDonald. 2004. “International Parity Relationships between the USA and Japan.” Japan and the World Economy 16 (1):17–34. doi:10.1016/S0922-1425(03)00003-3.
  • Kębłowski, P. 2011. “The Behaviour of Exchange Rates in the Central European Countries and Credit Default Risk Premiums.” Central European Journal of Economic Modelling and Econometrics 3:221–36.
  • Kębłowski, P. 2015. “Fixed or Float? PVEC Model of Exchange Rate for Central European Countries. Implications for Poland.” Materiały i Studia 312, National Bank of Poland.
  • Kębłowski, P., and A. Welfe. 2010. “Estimation of the Equilibrium Exchange Rate: The CHEER Approach.” Journal of International Money and Finance 29 (7):1385–97. doi:10.1016/j.jimonfin.2010.03.007.
  • Kębłowski, P., and A. Welfe. 2012. “A Risk-Driven Approach to Exchange-Rate Modelling.” Economic Modelling 29 (4):1473–82. doi:10.1016/j.econmod.2012.02.002.
  • Kelm, R. 2010. “The Exchange Rate and Two Price Inflations in Poland in the Period 1999–2009. Do Globalization and Balassa-Samuelson Effect Matter?” Central European Journal of Economic Modelling and Econometrics 2:315–49.
  • Kelm, R. 2017. “The Purchasing Power Parity and Imperfect Knowledge: The Case of the Polish Zloty.” Central European Journal of Economic Modelling and Econometrics 9:1–27.
  • Kilian, L., A. Rebucci, and N. Spatafora. 2009. “Oil Shocks and External Balances.” Journal of International Economics 77 (2):181–94. doi:10.1016/j.jinteco.2009.01.001.
  • Kocsis, Z., and Z. Monostori. 2016. “The Role of Country-specific Fundamentals in Sovereign CDS Spreads: Eastern European Experiences.” Emerging Markets Review 27:140–68. doi:10.1016/j.ememar.2016.05.003.
  • Konopczak, K., and A. Torój. 2010. “Estimating the Baumol-Bowen and Balassa-Samuelson Effects in the Polish Economy – The Disaggregated Approach.” Central European Journal of Economic Modelling and Econometrics 2:117–50.
  • Konopczak, K., and A. Welfe. 2017. “Convergence-driven Inflation and the Channels of Its Absorption.” Journal of Policy Modelling 39 (6):1019–34. doi:10.1016/j.jpolmod.2017.02.001.
  • Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root.” Journal of Econometrics 54 (1–3):159–78. doi:10.1016/0304-4076(92)90104-Y.
  • Lee, K. H., and F. Sadrieh. 2002. “The Value of the Euro: Undervalued or Overvalued?” Proceedings of the Midwest Business Economics Association, Palmer House Hilton, Chicago, Illinois.
  • Leszkiewicz-Kędzior, K. 2011. “Modelling Fuel Prices. An I(1) Analysis.” Central European Journal of Economic Modelling and Econometrics 2:75–95.
  • Lizardo, R. A., and A. V. Mollick. 2010. “Oil Price Fluctuations and U.S. Dollar Exchange Rates.” Energy Economics 32 (2):399–408. doi:10.1016/j.eneco.2009.10.005.
  • Lòpez-Villavicencio, A., J. Mazier, and J. Saadaoui. 2012. “Temporal Dimension and Equilibrium Exchange Rate: A FEER/BEER Comparison.” Emerging Markets Review 13 (1):58–77. doi:10.1016/j.ememar.2011.10.001.
  • MacDonald, R. 2007. Exchange Rate Economics. Theories and Evidence. New York: Routledge.
  • MacDonald, R., and I. W. Marsh. 2004. “Currency Spillovers and Tri-polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen.” Journal of International Money and Finance 23 (1):99–111. doi:10.1016/j.jimonfin.2003.08.003.
  • Maeso-Fernandez, F., Ch Osbat, and B. Schnatz. 2001. “Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach.” Working Paper Series 85, European Central Bank.
  • Majsterek, M. 2012. “Cointegration Analysis in the Case of I(2). General Overview.” Central European Journal of Economic Modelling and Econometrics 4:215–52.
  • Paruolo, P. 1997. “Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated I(1) VAR Systems.” Econometric Theory 13 (1):79–118. doi:10.1017/S026646660000565X.
  • Reboredo, J. C. 2012. “Modelling Oil Price and Exchange Rate Co-Movements.” Journal of Policy Modelling 34 (3):419–40. doi:10.1016/j.jpolmod.2011.10.005.
  • Rubaszek, M. 2009. “Economic Convergence and the Fundamental Equilibrium Exchange Rate in Poland.” Bank I Kredyt 40:7–23.
  • Stoupos, N., and A Kiohos. 2017. “Post-Communist Countries of the EU and the Euro: Dynamic Linkages between Exchange Rates.” ActaOeconomica AkadémiaiKiadó, Hungary 67:511–38.
  • Sturm, M., J. Strasky, P. Adolf, and D. Peschel. 2008. “The Gulf Cooperation Council Countries. Economic Structures, Recent Development and Role in the Global Economy.” Occasional Paper Series 92, European Central Bank.
  • Trenkler, C., P. Saikkonen, and P. Saikkonen. 2008. “Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.” Journal of Time Series Analysis 29 (2):331–58. doi:10.1111/j.1467-9892.2007.00558.x.
  • Turhan, M. I., A. Sensoy, and E. Hacihasanoglu. 2014. “A Comparative Analysis of the Dynamic Relationship between Oil Prices and Exchange Rates.” Journal of International Financial Markets, Institutions & Money 32:397–414. doi:10.1016/j.intfin.2014.07.003.
  • Turhan, M. I., E. Hacihasanoglu, and U. Soytas. 2013. “Oil Prices and Emerging Market Exchange Rates.” Emerging Markets Finance and Trade 49 (sup1):21–36. doi:10.2753/REE1540-496X4901S102.
  • Williamson, O. E. 1985. The Economic Institutions of Capitalism: Firms, Markets, Relational Contracting. New York: The Free Press.
  • Wu, C. C., H. Chung, and Y. H. Chang. 2012. “The Economic Value of Co-movement between Oil Price and Exchange Rate Using Copula Based GARCH Models.” Energy Economics 34 (1):270–82. doi:10.1016/j.eneco.2011.07.007.
  • Zhang, Y. J., Y. Fan, H. T. Tsai, and Y. M. Wei. 2008. “Spillover Effect of US Dollar Exchange Rate on Oil Prices.” Journal of Policy Modeling 30 (6):973–91. doi:10.1016/j.jpolmod.2008.02.002.
  • Zhou, S. 1995. “The Response of Real Exchange Rates to Various Economic Shocks.” Southern Economic Journal 61 (4):936–54. doi:10.2307/1060733.
  • Zivot, A., and D. Andrews. 1992. “Further Evidence on The Great Crash, The Oil-price Shock, and The Unit-root Hypothesis.” Journal Of Business & Economic Statistics 10 (3):251-70. doi: 10.1080/07350015.1992.10509904.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.