Oil prices and the US effective exchange rate: A hidden cointegration analysis

Panagiotis Rafailidis, Constantinos Katrakilidis

Abstract


Abstract

We investigate the long-run relationship between the US Dollar effective exchange and the oil prices (wti) over the period from January 1986 to August 2014. We allow for the relationship to be nonlinear by employing the hidden cointegration technique of Granger and Yoon (2002) and Schorderet (2004). The Quandt – Andrews approach allows accounting for structural breaks. The results reveal a long-run relationship between the two markets.


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DOI: https://doi.org/10.17811/ebl.5.4.2016.134-144

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