Abstract
This research estimated the smooth transition autoregressive model with exogenous variables to evaluate the non-linearity of West Texas Intermediate (WTI) crude oil price from the exchange rate of US dollar and WTI crude oil production. The sample period used in this research was the weekly data from April 08, 1983 to November 12, 2021. Empirical result indicated that the change in price of WTI crude oil showed a non-linear result for its influence on the production of WTI crude oil, and the price changed in different threshold regions depending on the transformation variable. However, when the rate of change in current US Dollar Index varied, a reverse change can be observed between the rate of change in the price of current WTI crude oil and the rate of change in the production capacity of WTI crude oil. After a certain period of time or when the deferred effect was enhanced, a change in the same direction will exist between the rate of change in the price of WTI crude oil and the rate of change in the production capacity of WTI crude oil.
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