Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/49444
Authors: 
Hasanov, Fakhri
Year of Publication: 
2010
Series/Report no.: 
DIW Discussion Papers 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.
Subjects: 
Real effective exchange rate
Real oil price
Relative productivity
Azerbaijani manat
Dutch Disease
Oil-exporting Countries
Johansen Co-integration Approach
Error Correction Modeling
Half-life Speed
JEL: 
F31
F41
C32
P24
Q43
Document Type: 
Working Paper

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