Modelling oil price and exchange rate co-movements

Juan Reboredo

Journal of Policy Modeling, 2012, vol. 34, issue 3, 419-440

Abstract: We examine how oil prices and exchange rates co-move using two measures of dependence: correlations and copulas and document two main findings for crude oil prices and a range of currencies: oil price–exchange rate dependence is in general weak, although it rose substantially in the aftermath of the global financial crisis; and there is no extreme market dependence between oil prices and exchange rates. These findings have important implications for risk management, monetary policies to control oil inflationary pressures or exchange rates, the dollar-pegging policies of some oil-exporting countries and fiscal policy in oil-exporting countries in general.

Keywords: Oil prices; Exchange rates; Copulas; Co-movement (search for similar items in EconPapers)
JEL-codes: C22 C46 C51 F31 F41 G15 G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (234)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:34:y:2012:i:3:p:419-440

DOI: 10.1016/j.jpolmod.2011.10.005

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