On oil-US exchange rate volatility relationships: An intraday analysis

Jawadi, Fredj; Louhichi, Waël; Ameur, Hachmi Ben; Cheffou, Abdoulkarim Idi

doi:10.1016/j.econmod.2016.07.014

Cited by 63 publications

(43 citation statements)

References 49 publications

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“…Moreover, its influence and control power on oil price increases gradually and further strengthens after the global financial crisis in 2008 [62]. Many studies demonstrated a negative relationship between oil prices and the US dollar exchange rates [60][61][62][63][64][65][66]. Possible linkages between the dollar index and oil price are suggested by Chai et al [62].…”

Section: Data Descriptionmentioning

confidence: 98%

“…Other studies also found that movements in US dollar exchange rates influence commodity price changes [57][58][59] and oil prices are no exception. While researchers have focused on various factors that influence international oil prices, the US dollar index is included as a major variable and is confirmed as an important factor for oil price changes [60][61][62][63][64][65][66]. Moreover, its influence and control power on oil price increases gradually and further strengthens after the global financial crisis in 2008 [62].…”

Section: Data Descriptionmentioning

confidence: 99%

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Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

Lee

Huh

2017

Sustainability

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Abstract:In the long-term, crude oil prices may impact the economic stability and sustainability of many countries, especially those depending on oil imports. This study thus suggests an alternative model for accurately forecasting oil prices while reflecting structural changes in the oil market by using a Bayesian approach. The prior information is derived from the recent and expected structure of the oil market, using a subjective approach, and then updated with available market data. The model includes as independent variables factors affecting oil prices, such as world oil demand and supply, the financial situation, upstream costs, and geopolitical events. To test the model's forecasting performance, it is compared with other models, including a linear ordinary least squares model and a neural network model. The proposed model outperforms on the forecasting performance test even though the neural network model shows the best results on a goodness-of-fit test. The results show that the crude oil price is estimated to increase to $169.3/Bbl by 2040.

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Section: Data Descriptionmentioning

confidence: 98%

Section: Data Descriptionmentioning

confidence: 99%

Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

Lee

Huh

2017

Sustainability

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“…At the present time, a great deal of literature has been concerned with the measuring of energy price volatility, volatility forecasting [10][11][12][13][14], and the volatility spillover effect of energy prices on other financial markets, such as the stock market, the non-energy commodity market and exchange rate market [15][16][17][18][19][20]. However, it is surprising that there is little literature investigating the volatility feedback of energy prices [8,21,22].…”

Section: Introductionmentioning

confidence: 99%

Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model

2018

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In this paper, the time-varying volatility feedback of nine series of energy prices is researched by employing the time-varying parameter stochastic volatility in mean (TVP-SVM) model. The major findings and conclusions can be grouped as follows: Significant differences exist in the time-varying volatility feedback among the nine major energy productions. Specifically, crude oil and diesel's price volatility has a remarkable positive time-varying effect on their returns. Yet the returns, for natural gas and most petroleum products are negatively affected by their price volatility over time. Furthermore, obvious structural break features exist in the time-varying volatility feedback of energy prices, which coincide with the breakpoints in the energy volatility. This indicates that some factors such as major global economic and geopolitical events that cause the sudden structural breaks in the energy volatility may also affect the volatility feedback of the energy price. Moreover, the volatility feedback in energy price will become weak and even have no impact on energy returns in some special periods when the energy price volatility is extremely high.

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“…By applying a Structural VAR model and basing on impulse response functions, they revealed that the response of volatility of a commodity to an oil price shock differed significantly depending on the underlying cause of the shock. A recent study focusing on intraday relationship between oil and exchange rate volatility was performed by Jawadi et al (2016). They researched the dynamics of oil price volatility by examining interactions between the oil market and the US dollar/euro exchange rate.…”

Section: Literature Reviewmentioning

confidence: 99%

Short and Long-Term Causality Relations Between Broad Money and Crude Oil, Exchange Rate, Commodity Option Volatilities

Tokmakçıoğlu¹,

Özçelebi²

2017

Pressacademia

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Purpose-The purpose of the study is to examine the dynamics linking broad money (M3) growth and crude oil volatility, euro/dollar volatility, commodity option volatility for the case of the US. Methodology-Causality analysis depending on Vector Error Correction (VEC) models is employed to estimate the relationship between broad money (M3) growth and crude oil volatility, euro/dollar volatility, commodity option volatility for the case of the US. Findings-Causality analysis results stresses that the balance sheet size of FED increase the uncertainties commodity and currency markets and thus volatility in euro/dollar and spot oil price and commodity options can be raised in the long-term. Both instantaneous causality and Granger causality indicate that money demand behavior of US economic agents are not affected from the commodity option, euro/dollar and crude oil volatilities both in short-and long-run. Conclusion-Our empirical analysis implies that monetary aggregate targeting policy of FED can not be negatively mitigated by commodity option volatility, euro/dollar volatility, crude oil volatility indices. For further studies and analysis, we suggest the clarification of channels between monetary policy stance and financial instruments traded in commodity and currency markets.

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On oil-US exchange rate volatility relationships: An intraday analysis

Cited by 63 publications

References 49 publications

Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model

Short and Long-Term Causality Relations Between Broad Money and Crude Oil, Exchange Rate, Commodity Option Volatilities

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