메뉴 건너뛰기




Volumn 32, Issue 2, 2010, Pages 399-408

Oil price fluctuations and U.S. dollar exchange rates

Author keywords

Exchange rates; Monetary model; Oil prices; U.S. dollar

Indexed keywords

EXCHANGE RATES; ME-XICO; OIL PRICES;

EID: 74149094282     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.10.005     Document Type: Article
Times cited : (365)

References (62)
  • 3
    • 55349121243 scopus 로고    scopus 로고
    • Monetary policy and the transmission of oil shocks
    • Bachmeier L. Monetary policy and the transmission of oil shocks. Journal of Macroeconomics 30 4 (2008) 1738-1755
    • (2008) Journal of Macroeconomics , vol.30 , Issue.4 , pp. 1738-1755
    • Bachmeier, L.1
  • 4
    • 0001168750 scopus 로고
    • The search for equilibrium relationships in international finance: the case of the monetary model
    • Baillie R.T., and Pecchenino R.A. The search for equilibrium relationships in international finance: the case of the monetary model. Journal of International Money and Finance 10 (1991) 582-593
    • (1991) Journal of International Money and Finance , vol.10 , pp. 582-593
    • Baillie, R.T.1    Pecchenino, R.A.2
  • 6
    • 0036318555 scopus 로고    scopus 로고
    • Oil price shocks and the U.S. economy: Where does the asymmetry originate?
    • Balke N.S., Brown S.P.A., and Yucel M. Oil price shocks and the U.S. economy: Where does the asymmetry originate?. Energy Journal 23 3 (2002) 27-52
    • (2002) Energy Journal , vol.23 , Issue.3 , pp. 27-52
    • Balke, N.S.1    Brown, S.P.A.2    Yucel, M.3
  • 7
    • 84981600933 scopus 로고
    • Exploring equilibrium relationships in econometrics through static models: some Monte Carlo evidence
    • Banerjee A., Dolado J., Hendry D., and Smith G. Exploring equilibrium relationships in econometrics through static models: some Monte Carlo evidence. Oxford Bulletin of Economics and Statistics 48 (1986) 253-277
    • (1986) Oxford Bulletin of Economics and Statistics , vol.48 , pp. 253-277
    • Banerjee, A.1    Dolado, J.2    Hendry, D.3    Smith, G.4
  • 9
    • 0021626296 scopus 로고
    • Testing for the effects of oil-price rises using vector autoregression
    • Burbidge J., and Harrison A. Testing for the effects of oil-price rises using vector autoregression. International Economic Review 25 (1984) 459-484
    • (1984) International Economic Review , vol.25 , pp. 459-484
    • Burbidge, J.1    Harrison, A.2
  • 10
    • 48749147815 scopus 로고
    • Oil price shocks in a portfolio-balance model
    • Caprio J., and Clark P.B. Oil price shocks in a portfolio-balance model. Journal of Economics & Business 35 2 (1983) 221-234
    • (1983) Journal of Economics & Business , vol.35 , Issue.2 , pp. 221-234
    • Caprio, J.1    Clark, P.B.2
  • 11
    • 0032261311 scopus 로고    scopus 로고
    • Unemployment equilibria and input prices: Theory and evidence from the United States
    • Carruth A.A., Hooker M.A., and Oswald A.J. Unemployment equilibria and input prices: Theory and evidence from the United States. Review of Economics and Statistics 80 (1998) 621-628
    • (1998) Review of Economics and Statistics , vol.80 , pp. 621-628
    • Carruth, A.A.1    Hooker, M.A.2    Oswald, A.J.3
  • 13
    • 64749090591 scopus 로고    scopus 로고
    • Can Exchange Rates Forecast Commodity Prices?
    • University of Washington
    • Chen Y., Rogoff K., and Rossi B. Can Exchange Rates Forecast Commodity Prices?. Working Paper (2008), University of Washington
    • (2008) Working Paper
    • Chen, Y.1    Rogoff, K.2    Rossi, B.3
  • 15
    • 48949085609 scopus 로고    scopus 로고
    • Relationships between oil price shocks and stock market: An empirical analysis from China
    • Cong R.-G., Wei Y.-M., Jiao J.-L., and Fan Y. Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy 361 9 (2008) 3544-3567
    • (2008) Energy Policy , vol.361 , Issue.9 , pp. 3544-3567
    • Cong, R.-G.1    Wei, Y.-M.2    Jiao, J.-L.3    Fan, Y.4
  • 16
    • 0000817740 scopus 로고    scopus 로고
    • Sectoral Job Creation and Destruction Responses to Oil Price Changes
    • Davis S.J., and Haltiwanger J. Sectoral Job Creation and Destruction Responses to Oil Price Changes. Journal of Monetary Economics 48 (2001) 465-512
    • (2001) Journal of Monetary Economics , vol.48 , pp. 465-512
    • Davis, S.J.1    Haltiwanger, J.2
  • 17
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey D., and Fuller W. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (1979) 427-431
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.2
  • 19
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for autoregressive unit root
    • Elliot G., Rothenberg T.J., and Stock J.H. Efficient tests for autoregressive unit root. Econometrica 64 (1996) 813-836
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliot, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 20
    • 21044437667 scopus 로고    scopus 로고
    • Exchange rates and fundamentals
    • Engel C., and West K. Exchange rates and fundamentals. Journal of Political Economy 113 3 (2005) 485-517
    • (2005) Journal of Political Economy , vol.113 , Issue.3 , pp. 485-517
    • Engel, C.1    West, K.2
  • 22
    • 34548708471 scopus 로고    scopus 로고
    • Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices
    • Ewing B., and Thompson M.A. Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices. Energy Policy 35 11 (2007) 5535-5540
    • (2007) Energy Policy , vol.35 , Issue.11 , pp. 5535-5540
    • Ewing, B.1    Thompson, M.A.2
  • 23
    • 77956842194 scopus 로고
    • Grossman G., and Rogoff K. (Eds), Elsevier, Amsterdam
    • Frankel J., and Rose A. In: Grossman G., and Rogoff K. (Eds). Empirical research on nominal exchange rates. Handbook of International Economics vol. 3 (1995), Elsevier, Amsterdam 1689-1729
    • (1995) Handbook of International Economics , vol.3 , pp. 1689-1729
    • Frankel, J.1    Rose, A.2
  • 24
    • 77957239083 scopus 로고
    • Perspectives on PPP and long-run real exchange rates
    • Grossman G., and Rogoff K. (Eds), Amsterdam, Elsevier
    • Froot K., and Rogoff K. Perspectives on PPP and long-run real exchange rates. In: Grossman G., and Rogoff K. (Eds). Handbook of International Economics Vol. 3 (1995), Amsterdam, Elsevier 1647-1688
    • (1995) Handbook of International Economics , vol.3 , pp. 1647-1688
    • Froot, K.1    Rogoff, K.2
  • 25
    • 0001757056 scopus 로고
    • Crude oil and the macroeconomy: Tests of some popular notions
    • Gisser M., and Goodwin T.H. Crude oil and the macroeconomy: Tests of some popular notions. Journal of Money, Credit, and Banking 18 (1986) 95-103
    • (1986) Journal of Money, Credit, and Banking , vol.18 , pp. 95-103
    • Gisser, M.1    Goodwin, T.H.2
  • 26
    • 84861688611 scopus 로고
    • Oil Prices and Exchange Rates
    • Golub S.S. Oil Prices and Exchange Rates. Economic Journal 93 371 (1983) 576-593
    • (1983) Economic Journal , vol.93 , Issue.371 , pp. 576-593
    • Golub, S.S.1
  • 27
    • 0033710835 scopus 로고    scopus 로고
    • The monetary exchange rate model as a long-run phenomenon
    • Groen J. The monetary exchange rate model as a long-run phenomenon. Journal of International Economics 52 (2000) 299-319
    • (2000) Journal of International Economics , vol.52 , pp. 299-319
    • Groen, J.1
  • 28
    • 38149003572 scopus 로고    scopus 로고
    • Large oil shocks and the U.S. economy: Infrequent incidents with large effects
    • Gronwald M. Large oil shocks and the U.S. economy: Infrequent incidents with large effects. Energy Journal 29 1 (2008) 151-171
    • (2008) Energy Journal , vol.29 , Issue.1 , pp. 151-171
    • Gronwald, M.1
  • 30
    • 33646439412 scopus 로고    scopus 로고
    • Oil price volatility and U.S. macroeconomic activity
    • Guo H., and Kliesen K.L. Oil price volatility and U.S. macroeconomic activity. Federal Reserve Bank of St. Louis Review 87 6 (2005) 669-683
    • (2005) Federal Reserve Bank of St. Louis Review , vol.87 , Issue.6 , pp. 669-683
    • Guo, H.1    Kliesen, K.L.2
  • 31
    • 85017128111 scopus 로고
    • Oil and the Macroeconomy since World War II
    • Hamilton J.D. Oil and the Macroeconomy since World War II. Journal of Political Economy 91 2 (1983) 228-248
    • (1983) Journal of Political Economy , vol.91 , Issue.2 , pp. 228-248
    • Hamilton, J.D.1
  • 32
    • 0030268612 scopus 로고    scopus 로고
    • This is what happened to the oil price-macroeconomy relationship
    • Hamilton J.D. This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics 38 (1996) 215-220
    • (1996) Journal of Monetary Economics , vol.38 , pp. 215-220
    • Hamilton, J.D.1
  • 34
    • 2442569001 scopus 로고    scopus 로고
    • Oil shocks and aggregate macroeconomic behavior: The role of monetary policy
    • Hamilton J.D., and Herrera A.M. Oil shocks and aggregate macroeconomic behavior: The role of monetary policy. Journal of Money, Credit and Banking 36 2 (2004) 265-286
    • (2004) Journal of Money, Credit and Banking , vol.36 , Issue.2 , pp. 265-286
    • Hamilton, J.D.1    Herrera, A.M.2
  • 36
    • 0030268594 scopus 로고    scopus 로고
    • What happened to the oil price-macroeconomy relationship?
    • Hooker M.A. What happened to the oil price-macroeconomy relationship?. Journal of Monetary Economics 38 2 (1996) 195-213
    • (1996) Journal of Monetary Economics , vol.38 , Issue.2 , pp. 195-213
    • Hooker, M.A.1
  • 37
    • 36349032745 scopus 로고    scopus 로고
    • The role of oil price shocks on China's real exchange rate
    • Huang Y., and Guo F. The role of oil price shocks on China's real exchange rate. China Economic Review 18 4 (2007) 403-416
    • (2007) China Economic Review , vol.18 , Issue.4 , pp. 403-416
    • Huang, Y.1    Guo, F.2
  • 39
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59 (1991) 1551-1580
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 40
    • 0030429028 scopus 로고    scopus 로고
    • The employment and wage effects of oil price changes: A sectoral analysis
    • Keane M.P., and Prasad E. The employment and wage effects of oil price changes: A sectoral analysis. Review of Economics and Statistics 78 (1996) 389-400
    • (1996) Review of Economics and Statistics , vol.78 , pp. 389-400
    • Keane, M.P.1    Prasad, E.2
  • 42
  • 43
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root
    • Kwiatkowski D., Phillips P.C.B., Schmidt P., and Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root. Journal of Econometrics (1992) 159-178
    • (1992) Journal of Econometrics , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 44
    • 0036084365 scopus 로고    scopus 로고
    • On the dynamic effects of oil price shocks: A study using industry level data
    • Lee K., and Ni S. On the dynamic effects of oil price shocks: A study using industry level data. Journal of Monetary Economics 49 (2002) 823-852
    • (2002) Journal of Monetary Economics , vol.49 , pp. 823-852
    • Lee, K.1    Ni, S.2
  • 45
    • 0029481013 scopus 로고
    • Oil shocks and the macroeconomy: The role of price variability
    • Lee K., Ni S., and Ratti R.A. Oil shocks and the macroeconomy: The role of price variability. Energy Journal 16 (1995) 39-56
    • (1995) Energy Journal , vol.16 , pp. 39-56
    • Lee, K.1    Ni, S.2    Ratti, R.A.3
  • 46
    • 0000646020 scopus 로고
    • Oil price shocks and the dispersion hypothesis
    • Loungani P. Oil price shocks and the dispersion hypothesis. Review of Economics and Statistics 58 (1986) 536-539
    • (1986) Review of Economics and Statistics , vol.58 , pp. 536-539
    • Loungani, P.1
  • 47
    • 0035154184 scopus 로고    scopus 로고
    • Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel
    • Mark N.C., and Sul D. Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel. Journal of International Economics 53 (2001) 29-52
    • (2001) Journal of International Economics , vol.53 , pp. 29-52
    • Mark, N.C.1    Sul, D.2
  • 48
    • 38249005914 scopus 로고
    • Cointegration tests for long-run equilibrium in the monetary exchange rate model
    • McNown R.A., and Wallace M. Cointegration tests for long-run equilibrium in the monetary exchange rate model. Economics Letters 31 (1989) 263-267
    • (1989) Economics Letters , vol.31 , pp. 263-267
    • McNown, R.A.1    Wallace, M.2
  • 49
    • 33846907054 scopus 로고
    • Empirical exchange rate models of the seventies: do they fit out of sample?
    • Meese R.A., and Rogoff K. Empirical exchange rate models of the seventies: do they fit out of sample?. Journal of International Economics 14 (1983) 3-24
    • (1983) Journal of International Economics , vol.14 , pp. 3-24
    • Meese, R.A.1    Rogoff, K.2
  • 50
    • 0000712639 scopus 로고
    • Oil and the macroeconomy when prices go up and down: An extension of Hamilton's results
    • Mork K.A. Oil and the macroeconomy when prices go up and down: An extension of Hamilton's results. Journal of Political Economy 97 3 (1989) 740-744
    • (1989) Journal of Political Economy , vol.97 , Issue.3 , pp. 740-744
    • Mork, K.A.1
  • 52
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey W.K., and West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 3 (1987) 703-708
    • (1987) Econometrica , vol.55 , Issue.3 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 53
    • 48049111180 scopus 로고    scopus 로고
    • Oil price shocks and stock markets in the U.S. and 13 European countries
    • Park J., and Ratti R.A. Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics 30 5 (2008) 2587-2609
    • (2008) Energy Economics , vol.30 , Issue.5 , pp. 2587-2609
    • Park, J.1    Ratti, R.A.2
  • 54
    • 0032219575 scopus 로고    scopus 로고
    • Generalized impulse response analysis in linear multivariate models
    • Pesaran H.H., and Shin Y. Generalized impulse response analysis in linear multivariate models. Economics Letters 58 1 (1998) 17-29
    • (1998) Economics Letters , vol.58 , Issue.1 , pp. 17-29
    • Pesaran, H.H.1    Shin, Y.2
  • 55
    • 0003782226 scopus 로고
    • Harvard University Press, Cambridge, MA
    • Phelps E.S. Structural slumps (1994), Harvard University Press, Cambridge, MA
    • (1994) Structural slumps
    • Phelps, E.S.1
  • 56
    • 0036888014 scopus 로고    scopus 로고
    • Testing the monetary model of exchange rate determination: new evidence from a century of data
    • Rapach D.E., and Wohar M.E. Testing the monetary model of exchange rate determination: new evidence from a century of data. Journal of International Economics 58 (2002) 359-385
    • (2002) Journal of International Economics , vol.58 , pp. 359-385
    • Rapach, D.E.1    Wohar, M.E.2
  • 57
    • 21444460710 scopus 로고    scopus 로고
    • Imperfect Competition and the Effects of Energy Price Increases
    • Rotemberg J.J., and Woodford M. Imperfect Competition and the Effects of Energy Price Increases. Journal of Money, Credit, and Banking 28 (1996) 549-577
    • (1996) Journal of Money, Credit, and Banking , vol.28 , pp. 549-577
    • Rotemberg, J.J.1    Woodford, M.2
  • 59
    • 51249161505 scopus 로고
    • The monetary exchange rate model in the long run: an empirical investigation
    • Sarantis N. The monetary exchange rate model in the long run: an empirical investigation. Review of World Economics 130 4 (1994) 698-711
    • (1994) Review of World Economics , vol.130 , Issue.4 , pp. 698-711
    • Sarantis, N.1
  • 61
    • 0001527764 scopus 로고
    • A simple estimator of cointegrating vectors in higher order integrated systems
    • Stock J.H., and Watson M.W. A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61 (1993) 783-820
    • (1993) Econometrica , vol.61 , pp. 783-820
    • Stock, J.H.1    Watson, M.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.