The influence of international oil price fluctuation on the exchange rate of countries along the “Belt and Road”

Yijing Wang, Xueqing Geng and Kun Guo

The North American Journal of Economics and Finance, 2022, vol. 59, issue C

Abstract: In recent years, the international crude oil price has become increasingly volatile. It influences the exchange rate changes of relevant countries through economic growth, price level, international balance of payments, and other channels. Such exchange rate fluctuations have caused certain risks for the development of China’s “Belt and Road” Initiative. This article analyzes the impact of oil price changes on the exchange rates of countries. Because the fluctuation of oil prices and exchange rates has shown the characteristics of multiple time scales, this study used the empirical mode decomposition (EMD) method to obtain the long-cycle and short-cycle sequences of oil prices and the exchange rates of various countries, then analyzed the impact of oil price changes on exchange rates under different time scales. The results showed that oil price fluctuations have an impact on the exchange rate changes of countries along the “Belt and Road” under different time scales. However, this effect is asymmetric between oil-producing countries and non-oil-producing countries, and the transmission path of oil prices to exchange rates varies from cycle to cycle.

Keywords: Crude oil price; Exchange rate; “Belt and Road”; EMD (search for similar items in EconPapers)
JEL-codes: C22 F31 G10 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001911

DOI: 10.1016/j.najef.2021.101588

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