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

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成果类型：

期刊论文

作者：

Yue, Liu;Failler, Pierre*;Peng, Jiaying*;Zheng, Yuhang

通讯作者：

Failler, Pierre;Peng, Jiaying

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：

[Failler, Pierre] U

[Peng, Jiaying] H

Univ Portsmouth, Portsmouth Business Sch, Econ & Finance Grp, Portsmouth PO1 3DE, Hants, England.

Hunan Agr Univ, Sch Econ, Changsha 410128, Peoples R China.

语种：

英文

关键词：

oil price;exchange rate;TVP-VAR model;economic policy uncertainty

期刊：

Energies

ISSN：

1996-1073

年：

2020

卷：

期：

页码：

2395-

DOI：

10.3390/en13092395

基金类别：

Funding: This research is funded by the Natural Science Foundation of Hunan Province, Grant No. 2019JJ50111 and the Young Backbone Teachers Project of Colleges and Universities in Hunan Province (2019).

机构署名：

本校为通讯机构

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 hav...

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

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