Prague Economic Papers 2020, 29(2):187-206 | DOI: 10.18267/j.pep.718

Relationship Between the Brent Oil Price and the US Dollar Exchange Rate

Radmila Krkoškováa
a Silesian University in Opava,School of Business Administration in Karviná, Karviná, Czech Republic

This article deals with an analysis of the relationship between the Brent oil price and the US dollar price. This paper analyses the development of the intensity and direction of dependence between the nominal effective exchange rate of the US dollar and the price of Brent oil and other commodities, such as industrial metals, agricultural commodities, gold (including jewellery and platinum) in the period from January 1994 to April 2018. The next section tests the hypothesis that there is a short-term relationship between the effective US dollar exchange rate and the oil price. The last part of the article deals with the question whether there is a long-term relationship between these variables: Brent oil price, effective exchange rate of the US dollar, industrial production index in OECD countries, three-month treasury bill, US ending stocks of crude oil, US percent utilization of refinery operable capacity and the price of ethanol.

Keywords: ADF test, Brent, Granger causality, Johansen test, US dollar, VECM
JEL classification: C13, C19, C49

Received: July 26, 2018; Accepted: January 24, 2019; Prepublished online: December 20, 2019; Published: April 15, 2020  Show citation

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Krkošková, R. (2020). Relationship Between the Brent Oil Price and the US Dollar Exchange Rate. Prague Economic Papers, 29(2), 187-206. doi: 10.18267/j.pep.718
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