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Quantile causality from dollar exchange rate to international oil price

원유가격에 대한 환율의 인과관계 : 비모수 분위수검정 접근

  • Jeong, Kiho (School of Economics and Trade, Kyungpook National University)
  • 정기호 (경북대학교 경제통상학부)
  • Received : 2017.02.22
  • Accepted : 2017.03.23
  • Published : 2017.03.31

Abstract

This paper analyzes the causal relationship between dollar exchange rate and international oil price. Although large literature on the relationship has accumulated, results are not unique but diversified. Based on the idea that such diversified results may be due to different causality at different economic status, we considers an approach to test the causal relationship at each quantile. This approach is different from the mean causality analysis widely employed by the existing literature of the causal relationship. In this paper, monthly data from May 1987 to 2013 is used for the causal analysis in which Brent oil price and Major Currencies Dollar Index (MCDI) are considered. The test method is the nonparametric test for causality in quantile suggested by Jeong et al. (2012). The results show that although dollar exchange rate causes oil price in mean, the causal relationship does not exist at most quantiles.

Acknowledgement

Supported by : 경북대학교

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