Oil and US dollar exchange rate dependence: A detrended cross-correlation approach

Juan Reboredo, Miguel A. Rivera-Castro and Gilney F. Zebende

Energy Economics, 2014, vol. 42, issue C, 132-139

Abstract: This paper examines the relationship between oil prices and the US dollar exchange rate using detrended cross-correlation analysis. For a wide set of currencies in the periods before and since the onset of the recent global financial crisis, we characterized the oil price–exchange rate relationship at different time scales and documented two main findings. First, the cross-correlation analysis indicated that oil price–exchange rate correlations were negative and low, having in general lower values for longer time scales. Second, negative dependence between oil and the US dollar increased after the onset of the global financial crisis for all time scales, thereby providing evidence of both contagion and interdependence. This empirical evidence has important implications for monetary and fiscal policies, asset management and risk assessment.

Keywords: Oil prices; Exchange rates; DCCA cross-correlation coefficient (search for similar items in EconPapers)
JEL-codes: C22 C51 F31 F41 G15 G32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (121)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:42:y:2014:i:c:p:132-139

DOI: 10.1016/j.eneco.2013.12.008

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