Oil Price Dynamics and Currency-Hedging Behavior

Komla Agudze and Oyakhilome Ibhagui

MPRA Paper from University Library of Munich, Germany

Abstract: For Korea, a major crude oil importer, we document that after crude oil prices spike, cross-currency basis swap spreads tend to tighten as the propensity to currency-hedge rises.

Keywords: Oil prices; currency hedging; cross-currency swaps; dollar-won basis; oil import (search for similar items in EconPapers)
JEL-codes: F0 (search for similar items in EconPapers)
Date: 2020-02
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100949

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