版权说明 操作指南
首页 > 成果 > 详情

Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks

认领
导出
Link by DOI
反馈
分享
QQ微信 微博
成果类型:
期刊论文
作者:
Yue, Liu;Failler, Pierre;Peng, Jiaying;Zheng, Yuhang
通讯作者:
Failler, P.
作者机构:
[Yue, Liu] Hunan Inst Technol, Sch Econ & Management, Dept Int Econ & Trade, Hengyang 421001, Peoples R China.
[Failler, Pierre] Univ Portsmouth, Portsmouth Business Sch, Econ & Finance Grp, Portsmouth PO1 3DE, Hants, England.
[Peng, Jiaying] Hunan Agr Univ, Sch Econ, Changsha 410128, Peoples R China.
[Zheng, Yuhang] Guangdong Univ Finance & Econ, Sch Finance, Guangzhou 510320, Peoples R China.
[Zheng, Yuhang] Guangdong Univ Finance & Econ, Collaborat Innovat Dev Ctr Pearl River Delta Sci, Guangzhou 510320, Peoples R China.
通讯机构:
Economics and Finance Group, Portsmouth Business School, University of Portsmouth, Portsmouth, United Kingdom
语种:
英文
关键词:
Economic policy uncertainty;Exchange rate;Oil price;TVP-VAR model
期刊:
Energies
ISSN:
1996-1073
年:
2020
卷:
13
期:
9
页码:
2395
基金类别:
Natural Science Foundation of Hunan ProvinceNatural Science Foundation of Hunan Province [2019JJ50111]; Young Backbone Teachers Project of Colleges and Universities in Hunan Province
机构署名:
本校为其他机构
院系归属:
经济学院
摘要:
This paper examines the dynamic relationship between crude oil prices and the U.S. exchange rate within the structural break detection context. Based on monthly data from January 1996 to April 2019, this paper identifies structural breaks in movements of oil price and examines the dynamic relationship between crude oil prices and the U.S. exchange rate movement by introducing the economic policy uncertainty and using the TVP-VAR (Time-Varying Parameter-Vector Auto Regression ) model. Empirical results indicate that shocks to crude oil prices have immediate and short-term impacts on movements in the exchange rate which are emphasized during the confidence intervals of structural breaks. Oil price shocks and economic policy uncertainty are interrelated and influence movements in the U.S. exchange rate. Since the U.S. dollar is the main currency of the international oil market and the U.S. has become a major exporter of crude oil, the transmission of price shocks to the U.S. exchange rate becomes complicated. In most cases, the relationship between oil prices and the U.S. exchange rate movements is negative.

反馈

验证码:
看不清楚,换一个
确定
取消

成果认领

标题:
用户 作者 通讯作者
请选择
请选择
确定
取消

提示

该栏目需要登录且有访问权限才可以访问

如果您有访问权限,请直接 登录访问

如果您没有访问权限,请联系管理员申请开通

管理员联系邮箱:yun@hnwdkj.com