A Stylized Exchange Rate Pass-Through Model of Crude Oil Price Formation

18 Pages Posted: 5 Nov 2005

See all articles by Ayoub Yousefi

Ayoub Yousefi

University of Western Ontario - Department of Economics

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Abstract

This paper presents a stylized exchange rate pass-through model of crude oil price formation for the purpose of understanding the price reactions of OPEC Member Countries to changes in the exchange rate of the US dollar against major currencies and the prices of other Members. Our empirical results suggest that, in response to changes in the exchange rate, exporting countries tend to adjust their prices to secure a stable international purchasing power of oil revenues and to avoid suppressing market demand and losing market share.

Suggested Citation

Yousefi, Ayoub and Wirjanto, Tony S., A Stylized Exchange Rate Pass-Through Model of Crude Oil Price Formation. OPEC Review, Vol. 29, No. 3, pp. 177-197, September 2005, Available at SSRN: https://ssrn.com/abstract=822486

Ayoub Yousefi (Contact Author)

University of Western Ontario - Department of Economics ( email )

London, Ontario N6A 5B8
Canada

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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