Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers
36 Pages Posted: 1 Jul 2009
Date Written: June 24, 2009
Abstract
We assess the effects of oil price shocks on real exchange rate and output in four large energy-producing countries: Iran, Kazakhstan, Venezuela, and Russia. We estimate four-variable structural vector autoregressive models using standard long-run restrictions. Not surprisingly, we find that higher real oil prices are associated with higher output. However, we also find that supply shocks are by far the most important driver of real output in all four countries, possibly due to ongoing transition and catching-up. Similarly, oil shocks do not account for a large share of movements in the real exchange rate, although they are clearly more significant for Iran and Venezuela than for the other countries.
Keywords: structural VAR model, oil price, Iran, Kazakhstan, Russia, Venezuela
JEL Classification: E31, E32, F31, Q43
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The Role of Oil Prices and the Real Exchange Rate in Russia's Economy
-
Diagnosing Dutch Disease: Does Russia Have the Symptoms?
By Nienke Oomes and Katerina Kalcheva
-
Diagnosing Dutch Disease: Does Russia Have the Symptoms?
By Nienke Oomes and Katerina Kalcheva
-
The Equilibrium Real Exchange Rate in a Commodity Exporting Country: Algeria's Experience
-
Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries
-
The Equilibrium Real Exchange Rate in a Commodity Exporting Country: The Case of Russia
By Nicola Spatafora and Emil Stavrev
-
Equilibrium Exchange Rates in Oil-Dependent Countries
By Iikka Korhonen and Tuuli Juurikkala
-
Long-Term Growth Prospects for the Russian Economy
By Roland Beck, Annette Kamps, ...