Oil prices, exchange rates and the U.S. economy: an empirical investigation
用向量自回归模型证明美元汇率对油价有显著影响，指出用油价变化衡量石油供给冲击会夸大外生油价变动的影响，对研究美国经济中石油冲击的学者有参考价值。
economy has assumed that oil price changes are exogenous- determined almost exclusively by the actions ofOPEC. This paper uses vector autoregressions to demonstrate that the foreign exchange value of the dollar has a substantial impact on the price ofoil. Thus, the practice of using changes in the dollar price ofoil as a measure ofthe underlying supply shocks is likely to exaggerate the effects ofexogenous oil price changes. Research on the effects of oil supply shocks on the United States ' economy has assumed that changes in the price of oil are exogenous, determined largely by the actions of OPEC. Significant historicalepisodes seem to support this assumption. For instance, oil prices. approximately tripled in both 1973 and 1979 as a result of OPEC's decision to curtail the supply of oil. This assumption of