Oil prices and the rise and fall of the US real exchange rate
Article Abstract:
A stable relationship between oil price shocks and the US real effective exchange rate was noted during the post-Bretton Woods period. The cointegration between US real exchange rate and real oil price implies that oil prices might have played an influential role in the occurrence of persistent real shocks during the covered period. The relationship also implies that consideration of energy prices could be very useful on future work involving exchange rate behavior.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1998
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Common stochastic trends between forward and spot exchange rates
Article Abstract:
A robust cointegrating relationship exists between forward rate and the corresponding future spot rate. Such relationship was revealed through the use of the methods of estimating cointegrating relations and the choice of lag lengths in the in the VAR. Also, the concept that forward rate contains a risk premium was confirmed after four out of five cases investigated failed to validate forward market's unbiasedness.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1998
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