BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 6/2009:
Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers
Iikka Korhonen ()
and Aaron Mehrotra ()
Abstract: We assess the effects of oil price shocks on real exchange
rate and output in four large energy-producing countries: Iran, Kazakhstan,
Venezuela, and Russia. We estimate four-variable structural vector
autoregressive models using standard long-run restrictions. Not
surprisingly, we find that higher real oil prices are associated with
higher output. However, we also find that supply shocks are by far the most
important driver of real output in all four countries, possibly due to
ongoing transition and catching-up. Similarly, oil shocks do not account
for a large share of movements in the real exchange rate, although they are
clearly more significant for Iran and Venezuela than for the other
countries.
Keywords: structural VAR model; oil price; Iran; Kazakhstan; Russia; Venezuela; (follow links to similar papers)
JEL-Codes: E31; E32; F31; (follow links to similar papers)
36 pages, July 1, 2009
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