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The impacts of oil price on exchange rates: Evidence from Saudi Arabia

机译：石油价格对汇率的影响：来自沙特阿拉伯的证据

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摘要

The real exchange rate is a key indicator of a country's trade competitiveness in the world. This paper investigates the interaction between oil price and real exchange rates in Saudi Arabia during the period January 1986 -March 2019, using monthly data. This study uses the autoregressive distributed lag model and the error correction model in order to investigate the existence of a long-run equilibrium relationship between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the autoregressive distributed lag bounds test cointegration was confirmed using the newly developed combined cointegration, which also provided the same evidence for a strong long-run relationship. In the short term, the results confirm the existence of a unidirectional causal relationship ranging from the oil price to the exchange rate. In the long term, however, the causal relationship is bidirectional between these two variables. An appreciation of the Saudi exchange rate generates an increase in the relative demand for oil, which in turn creates upward pressure on its price. For policy purposes, such evidence suggests that Saudi Arabia should be careful not to put too much weight on the benefits of higher revenue due to higher oil price.
机译：真正的汇率是世界上一个国家贸易竞争力的关键指标。本文调查了在1986年1月期间的沙特阿拉伯在2019年1月的互动率之间的互动，2019年1月至2019年，使用每月数据。本研究使用自回归分布式滞后模型和纠错模型，以研究变量之间的长期平衡关系的存在。证据表明，有一个强大的长期协整。使用新开发的联合协整综合协调确认了自回归分布式滞后界限测试协整的鲁棒性，这也为强大的长期关系提供了相同的证据。在短期内，结果证实了从油价到汇率的单向因果关系的存在。然而，在长期内，这些两个变量之间的因果关系是双向的。对沙特汇率的升值产生了增加对石油的相对需求，这反过来又会为其价格创造上升压力。由于政策目的，这些证据表明沙特阿拉伯应该注意不要因为较高的油价而对收入的福利提供太多重量。

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