العلاقة بين أسعار النفط الخام و سعر صرف الدولار باستخدام التكامل المشترك و سببية (Granger)‎

Abstract EN

The relation between prices of oil and us exchange rate : co- integration and Granger causality.

In this paper, we have to tried to determine whether there was a link between the real price of oil and the US real exchange rate against the euro.

First, our study has exhibited the quite complex features of the relation between the two variables.

More specifically, our results have shown that there exists a short and long term relation between the two series.

The application of Johansen cointegration and Granger causality tests made it clear that the direction of the causality is from exchange rate to oil price over 10 Aug 2009 to 30 Jun 2010.

Our estimates suggest that, other things equal, 1% depreciation in the dollar leads to % 1.5 rise in the oil price in the long run ,1.05 % in the short run.

The estimation of the error correction model show a slow adjustment has reported a very slow adjustment speed of the dollar real exchange rate to the long term target.