This diploma thesis looks from theoretical and practical point of view at the relation between the price of oil and exchange rates of developed countries importing this vital resource. First, the character of the dependence between terms of trade and exchange rates is analyzed, followed by a description and verification of models of relationship between the terms of trade and exchange rates. Subsequent text is focused on another models, which analyze directly the connection between oil prices and exchange rates. The thesis ends with a discussion on other possible connecting links in this relation.

This thesis consists of four essays that study the effect of demand and supply shocks (namely exchange rate shocks, policy shocks and oil price shocks) on the German automobile industry using time series analysis techniques; i.a. intervention analysis, (time-varying) VAR models, state space modeling and Kalman filtering. Chapter 2 investigates the degree of (EUR/USD) exchange rate susceptibility of the German automobile industry (and mechanical engineering industry). It is shown that – in contrast to well-known warnings by business representatives and politicians alike – an appreciation of the Euro does not necessarily cause German vehicle producing companies “pain” in the sense of an aggravated business climate (although the (quantity) effects on exports are as predicted by theory). Chapter 3 first of all deals with the effect of the global economic crisis on the German manufacturing sector in general and the German automobile industry in particular. Even more important, the influence of the scrapping scheme, that was introduced as part of the “Konjunkturpaket II” in 2009, is researched. Chapter 4 focusses on the role of (systematic) monetary policy as well as the automobile industry in the transmission of oil price shocks to the economy. Chapter 5 extends the results of chapter 4 by examining carefully the role of fuel-efficiency in explaining the different degrees of sensitivity of the vehicle industries in Germany, Japan and the US with regard to oil price shocks.