Abstract

http://ssrn.com/abstract=1784305
 
 

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The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan


Hasanov Fakhri


Qafqaz University - Center for Socio-Economic Research; George Washington University - Research Program on Forecasting; Institute of Cybernetics - Department of Modeling Socio-Economic Processes

August 1, 2010

DIW Berlin Discussion Paper No. 1041

Abstract:     
Using quarterly data from 2000-2007 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 long-run. Besides, revealed that relative price as a proxy for productivity has also explanatory power in explaining long-run behavior of real exchange rate. Estimated Error Correction Term indicates that half-life of adjustment toward long-run equilibrium level takes 3-4 quarters. Since findings of this study occur as results of high fiscal expansion my policy suggestions mainly related to Fiscal policy implementations.

Number of Pages in PDF File: 28

Keywords: Real effective exchange rate, Real oil price, Relative productivity, Azerbaijani manat, Dutch Disease

JEL Classification: F31, F41, C32, P24, Q43

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Date posted: March 16, 2011  

Suggested Citation

Fakhri, Hasanov, The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan (August 1, 2010). DIW Berlin Discussion Paper No. 1041. Available at SSRN: http://ssrn.com/abstract=1784305 or http://dx.doi.org/10.2139/ssrn.1784305

Contact Information

Fakhri Hasanov (Contact Author)
Qafqaz University - Center for Socio-Economic Research ( email )
Baku Sumgait Road 16th km.
Hasan Aliyev Str. 120
Khirdalan, Baku AZ0101
Azerbaijan
+994 (12) 4482862-66 (Phone)
+994 (12) 4482861,67 (Fax)
HOME PAGE: http://www.qu.edu.az/
George Washington University - Research Program on Forecasting ( email )
1922 F Street, NW
Old Main, Suite 208
Washington, DC 20052
United States
(202) 994-6150 (Phone)
(202) 994-6147 (Fax)
HOME PAGE: http://research.columbian.gwu.edu/cer/research/forecasting
Institute of Cybernetics - Department of Modeling Socio-Economic Processes ( email )
9, F. Agayev Str.
Baku, Az1141
Azerbaijan
(994 12) 5390151 (Phone)
(994 12) 5392633 (Fax)
HOME PAGE: http://www.cyber.az/
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