بررسي رابطه بلند مدت قيمت نفت خام و نرخ ارز واقعي دلار آمريكا به دو روش جوهانسن -جوسيليوس و ARDL

An Assessment of the Long-Run Relationship between Crude Oil Price and Effective Exchange Rate of the US Dollar

Crude oil can be considered an engine of economic growth in the post Second World War era. In addition, given the economic supremacy of the USA, the US dollar has been used for invoicing crude oil transactions throughout the world. The two economic indicators of crude oil price and US dollar exchange rate and their fluctuations have a noteworthy effect on all countries, especially Iran. This article examines the long and short-run relationship between these variables. We apply the two methods of Johansen-Joselius and ARDL in order to rigorously study these relationships, using seasonal average prices of crude oil and effective exchange rates of the US dollar for the period 1975 to 2008. According to our results, there is long-run co-integration relation between real crude oil price and real effective exchange rate of the US dollar, but this relationship is at a low level of statistical confidence. Also in the long-run, causality runs from real price of crude oil to real effective exchange rate of dollar and not vice-versa. In short-run, real effective exchange rate of dollar has stationary but gradually behavior in opposition to various shocks that deviate from its long-run path. JEL Classification: C22, E32, Q43