The real exchange rate is a key indicator of a country’s trade competitiveness in the world. This paper investigates the interaction between oil price and real exchange rates in Saudi Arabia during the period January 1986 -March 2019, using monthly data. This study uses the autoregressive distributed lag model and the error correction model in order to investigate the existence of a long-run equilibrium relationship between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the autoregressive distributed lag bounds test cointegration was confirmed using the newly developed combined cointegration, which also provided the same evidence for a strong long-run relationship. In the short term, the results confirm the existence of a unidirectional causal relationship ranging from the oil price to the exchange rate. In the long term, however, the causal relationship is bidirectional between these two variables. An appreciation of the Saudi exchange rate generates an increase in the relative demand for oil, which in turn creates upward pressure on its price. For policy purposes, such evidence suggests that Saudi Arabia should be careful not to put too much weight on the benefits of higher revenue due to higher oil price.

中文翻译：

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油价对汇率的影响：来自沙特阿拉伯的证据

实际汇率是衡量一个国家在世界贸易竞争力的关键指标。本文使用月度数据研究了 1986 年 1 月至 2019 年 3 月期间沙特阿拉伯石油价格与实际汇率之间的相互作用。本研究使用自回归分布滞后模型和误差修正模型来研究变量之间是否存在长期均衡关系。证据表明存在很强的长期协整关系。自回归分布式滞后边界检验协整的稳健性得到了使用新开发的组合协整的证实，这也为强长期关系提供了相同的证据。在短期内，结果证实存在从石油价格到汇率的单向因果关系。然而，从长远来看，这两个变量之间的因果关系是双向的。沙特汇率升值导致对石油的相对需求增加，进而对其价格造成上行压力。出于政策目的，此类证据表明，沙特阿拉伯应谨慎行事，不要过分看重油价上涨带来的收入增加带来的好处。