High-frequency oil-foreign-exchange interdependence

Enzo Weber

Journal of Energy Markets

Abstract: ABSTRACT This paper analyzes the interaction between crude-oil prices and the euro/US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature, our approach takes on a financial-markets perspective using daily data. The fast-moving simultaneous impacts are identified through heteroskedasticity by specifying multivariate exponential general autoregressive conditional heteroskedastic processes for the structural variances. While no significance is found for the decade following 1986, subsequent oil-price changes cause inverse reactions in the dollar price and affect its volatility. Conversely, dollar appreciations asymmetrically induce increases in the oil price, at least up until the price drop in late 2008.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-energy-markets/216 ... ange-interdependence (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ2:2160802

Access Statistics for this article

More articles in Journal of Energy Markets from Journal of Energy Markets
Bibliographic data for series maintained by Thomas Paine (maintainer@infopro-digital.com).