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New determinants of the dollar-petrol link


Etude interne
Auteurs : S. Klouz

 

Since 2014, the oil markets experienced several crashes. At the same time, the US dollar strongly fluctuated even if it has mainly increased since 2014. For the last fifteen years, we can clearly see that a persistent correlation exists between the US dollar and the oil price. Those facts drive us to wonder about the oil-US dollar relationship: is there any correlation between US dollar and oil prices?

First, we estimate a fully identified structural VAR (SVAR) using AB model, allowing bipartite co-movement between US dollar (against Euro) exchange rate and oil prices on a short run. We will then study the long run relationship using Granger causality tests.

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