The role of world oil price and precious metals prices shock on the exchange rate in Norway

Abstract

This study investigates the relationship between world oil price, four precious metal prices (gold, silver, platinum and palladium prices) and Norwegian krona- US dollar exchange rate in both long run and short run. This study examines the long run relationship in Granger Causality test and tests the short run relationship in generalized impulse response function. Depending on Granger Causality test, the long run relationship exists between world oil price and exchange rate. There is also included a link among precious metals in long-term. From the result of generalized impulse response function, the short-term impacts among these time series are meaningful.