The Survey of Long-run Relationship between Oil Prices and Exchange Rates: The case of OPEC

In this paper we studied the relationship between oil price and exchange rate in OPEC members. We investigated the long-run relationship between real oil prices and real exchange rates by using a monthly panel of seven countries of OPEC members from ۱۹۹۵:۰۱ to ۲۰۰۶:۱۲. We first test whether exchange rates are cointegrated with real oil prices. Stationary and cointegration tests for country-by-country and pooled series obviously shown the low power of individual country-by-country tests for unit roots and cointegration. It is shown that real oil prices may have been the dominant source of real exchange rate movements. We presented the Restricted Model, Fixed Effect Model and Random Effect Model results and select the preferable model by using of Restricted F test, LM test and Hausman test. Finally, results show that, there is a long-run link between real oil prices and real exchange rates.