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N° 2005-16 |
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| October 2005 |
| China and the Relationship Between
the Oil Price and the Dollar |
Agnès Bénassy-Quéré
Valérie Mignon
Alexis
Penot |
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| We study cointegration and causality
between the real price of oil and the real price of the dollar over the 1974-2004
period. Our results suggest that a 10% rise in the oil price coincides with a
4.3% appreciation of the dollar in the long run, and that the causality runs from
oil to the dollar. Through the development of a theoretical model, we then investigate
possible reasons why this relationship could be reversed in the future due to
the emergence of China as a major player on both the oil and the foreign exchange
markets. |
Abstract |
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| Oil price; real exchange rate; dollar; euro;
China; cointegration; causality; error correction model |
Keywords |
| C22, F31, Q43 |
JEL classification |
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