العلاقة السببية بين سعر صرف الدولار و سعر النفط

Abstract EN

The aim of this paper is to detect the possibility of a relationship between the exchange rate of the dollar and oil prices.

The study used cointegration tests for Engle-Granger and cointegration tests for Johansen and Juselius.

The data mainly consist of dollar exchange rate and spot crude oil price of west Texas.

Different dollar exchange rates were utilized.

For oil price the study uses the Spot Oil Price of West Texas.

The results indicated the absence of any long-term relationship between the exchange rate of the dollar and oil prices in any tests.

However, there are exceptions for some estimated equations.

For the period from (1950) to (2011), and for annual data (exchange rate of the dollar against the yen), the results indicated the presence of one integration equation between the dollar exchange rate and the price of oil.

This was also true for the period from (1971) to (1998) with monthly data (weighted dollar exchange rate).

Results indicated by a maximum eigenvalue test show the existence of two integrating equations at (5%) and (1%) significance levels.

For the Granger causality test, the result indicated the existence of a causal relationship between the price of oil to the U.S.

dollar exchange rate.

This causal relationship was found in the three equations.

Beyond that there is no causal relationship between the exchange rate and oil prices.

And in general the study has shown that oil price fluctuations do not explain the fluctuations Dollar exchange rate, as well as fluctuations in the dollar exchange rate cannot explain the fluctuations taking place in the oil market.

Fluctuations in these markets is generally independent of each other, and therefore can be attributed to variables outside the scope of these markets.