Can Oil Prices Predict Japanese Yen?

Neluka Devpura (ndevpura@sci.sjp.ac.lk)
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Neluka Devpura: University of Sri Jayewardenepura, Sri Lanka

Asian Economics Letters, 2021, vol. 1, issue 3, 1-5

Abstract: In this paper, we examine the relationship between Japanese Yen (vis-Ã -vis the US dollar) and the crude oil futures price. The novelty is that we use high frequency (intraday hourly) data to examine time-varying predictability. We find limited evidence that oil prices predict the Yen. There is no time-varying predictability relationship.

Keywords: oil price; japanese yen; time-varying; predictability; exchange rate (search for similar items in EconPapers)
JEL-codes: G15 G17 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnael:16

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