Hasanov, Fakhri (2010): The impact of real oil price on real effective exchange rate: The case of Azerbaijan. Published in: Discussion Papers of DIW Berlin No. DP1041 (July 2010): pp. 128.

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Abstract
Using quarterly data from 20002007 and applying Error Correction Model and Johansen Co integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that real oil price has statistically significant positive impact on real exchange rate in the longrun. Besides, revealed that relative price as a proxy for productivity has also explanatory power in explaining longrun behavior of real exchange rate. Estimated Error Correction Term indicates that halflife of adjustment toward longrun equilibrium level takes 34 quarters. Since findings of this study occur as results of high fiscal expansion my policy suggestions mainly related to Fiscal policy implementations.
Item Type:  MPRA Paper 

Original Title:  The impact of real oil price on real effective exchange rate: The case of Azerbaijan 
English Title:  The impact of real oil price on real effective exchange rate: The case of Azerbaijan 
Language:  English 
Keywords:  Real effective exchange rate, Real oil price, Relative productivity, Azerbaijani manat, Dutch Disease, Oilexporting Countries, Johansen Cointegration Approach, Error Correction Modeling, Halflife Speed 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models P  Economic Systems > P2  Socialist Systems and Transitional Economies > P24  National Income, Product, and Expenditure ; Money ; Inflation F  International Economics > F4  Macroeconomic Aspects of International Trade and Finance > F41  Open Economy Macroeconomics F  International Economics > F3  International Finance > F31  Foreign Exchange Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q43  Energy and the Macroeconomy 
Item ID:  33493 
Depositing User:  Fakhri Hasanov 
Date Deposited:  19. Sep 2011 08:31 
Last Modified:  24. Feb 2015 01:58 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/33493 