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Author: Καριπίδου, Ζωή
Karipidou, Zoi
Title: Empirical investigation of the nexus between the price of oil and the US real exchange rate
Date Issued: 2023
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Παντελίδης, Θεολόγος
Abstract: The purpose of this thesis is to empirically investigate the relationship between the US real exchange rate and the price of oil. In order to do so, the analysis starts by conducting unit root tests on the examined series by applying both conventional and break point unit root tests. Then, the casual relationship between the variables in examined by applying the Toda Yamamoto procedure. Results revealed that the real exchange rate Granger causes the price of oil and not vice versa. Next, the long-run relationship between the variables in investigated by firstly conducting conventional cointegration tests. In particular, the Engle-Granger and Johansen cointegration tests revealed that no long-run relationship exists between the selected variables. Since the breakpoint unit root tests revealed the presence of structural breaks in the series, the Gregory-Hansen cointegration test was applied in order to take into account the possible breaks in the series. Findings suggest, that the null hypothesis of no cointegration cannot be rejected. As a final step, the asymmetric cointegration between the variables was tested by applying nonlinear ARDL models for various periods in order to investigate the presence of asymmetric responses in the US real exchange rate. After estimating the models, findings revealed the presence of asymmetry and that positive changes in the US real effective exchange rate have a negative impact on oil prices, and negative changes in the former exert a negative positive impact on the latter.
Keywords: Real exchange rate
Price of oil
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2023.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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