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Cross-correlations between the US monetary policy, US dollar index and crude oil market

Xinxin Sun, Xinsheng Lu, Gongzheng Yue and Jianfeng Li

Physica A: Statistical Mechanics and its Applications, 2017, vol. 467, issue C, 326-344

Abstract: This paper investigates the cross-correlations between the US monetary policy, US dollar index and WTI crude oil market, using a dataset covering a period from February 4, 1994 to February 29, 2016. Our study contributes to the literature by examining the effect of the US monetary policy on US dollar index and WTI crude oil through the MF-DCCA approach. The empirical results show that the cross-correlations between the three sets of time series exhibit strong multifractal features with the strength of multifractality increasing over the sample period. Employing a rolling window analysis, our empirical results show that the US monetary policy operations have clear influences on the cross-correlated behavior of the three time series covered by this study.

Keywords: Cross-correlations; MF-DCCA; US monetary policy; US dollar index; Crude oil (search for similar items in EconPapers)
Date: 2017
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