US dollar and oil market uncertainty: New evidence from explainable machine learning

Baris Kocaarslan

Finance Research Letters, 2024, vol. 64, issue C

Abstract: This study uses the CatBoost algorithm along with the Shapley Additive Explanation method to explore the link between the US dollar and oil market uncertainty, while also considering other macroeconomic factors. We find that the US dollar is the most influential factor affecting oil market uncertainty compared to other economic risks and uncertainties. Increased levels of the US dollar are significantly associated with higher levels of oil market uncertainty. Furthermore, the US dollar exhibits the highest level of interaction with gold market uncertainty. Our analysis offers valuable insights into the role of the US dollar's strength in oil market dynamics.

Keywords: US dollar; Oil market uncertainty; Gold market uncertainty; Machine learning; Explainable artificial intelligence model (search for similar items in EconPapers)
JEL-codes: C60 D81 Q43 Q47 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057

DOI: 10.1016/j.frl.2024.105375

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