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Empirical Economics

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21-07-2023

Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar

Authors: Maria Malmierca-Ordoqui, Luis A. Gil-Alana, Manuel Monge

Published in: Empirical Economics | Issue 2/2024

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Abstract

The global dominance of the dollar is unquestionable, but the European Commission is committed to strengthening the role of the euro in international relations. Most of the transactions between countries are paid in US dollars even though the United States does not participate in them. Some argue that the euro could become more powerful if it were given more presence in international trade, in particular, in the energy bill of the Eurozone. With the aim of validating that statement, this paper analyses the cointegrating structure between energy imports to the Euro Area from its main partners and those partners’ currency exchange rates to the US dollar. We find that there is a bivariate fractional cointegration relationship between the series in most of the countries considered.

previous article Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach

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Title: Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar
Authors: Maria Malmierca-Ordoqui
Luis A. Gil-Alana
Manuel Monge
Publication date: 21-07-2023
Publisher: Springer Berlin Heidelberg
Published in: Empirical Economics / Issue 2/2024
Print ISSN: 0377-7332
Electronic ISSN: 1435-8921
DOI: https://doi.org/10.1007/s00181-023-02468-w

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