Sammenhengen mellom valutakurser og prisen på råolje

Abstract

Abstract This thesis is a theoretical and empirical study on the relationship between exchange rates and the crude oil price. The data are based on three currency pairs (EUR/USD, GBP/USD and JPY/USD) and the nominal WTI crude oil benchmark in the period January 1999 to October 2011. The primary target of the thesis is to investigate whether the negative relationship between crude oil price and the dollar exchange rate holds. Particularly the focus will be to test whether a depreciation in the dollar exchange rate increases the crude oil price. Three possible channels are presented to describe this negative relationship: Changes in the supply and demand side as a reaction to changes in the exchange rate, changes in monetary policy primarily in oil exporting countries and changes from financial assets to commodities like crude oil in response to a dollar depreciation. My empirical findings reveal that there exist a positive long term co-integrated relationship between the oil price and the EUR/USD and GBP/USD, and a negative long-run relationship between JPY/USD for the period between 1999 and 2011. The result varies when tested for shorter time periods. An ECM model is established, but it has relatively low prediction power for all three exchange rates. The test for Granger causality shows, however, that it is the oil price that Granger-causes the exchange rate, where the opposite is not true.