Cointegration test of oil price and us dollar exchange rates for some oil dependent economies 指導老師：楊奕農 學生：黃湘筠

Introduction This study examines the long-run dynamics between oil price and the bilateral US dollar exchange rates for a group of oil-dependent economies. Euro, Ghanaian cedi, Indian rupee, Nigerian naira, South African rand, and Russian ruble. These are the six currencies utilized in this study.

Data The pre-crisis period is from January 2000 to December 2007 while the post-crisis period is from January 2010 to June 2016. Use data of weekly data for one-month crude oil futures contract, dollar exchange rates, and implied volatility.

Methodology and Results Cointegration Tests

Data and results

Data and results

Data and results

CONCLUSIONS In the pre-crisis period, a long run cointegrated relationship is found to exist between oil price and the dollar exchange rate for both the Ghanaian and Russian currencies. It is interesting to note that this post crisis relationship did not exist for any of the currencies of the major oil-dependent countries in the pre-crisis period.