Oil and US dollar exchange rate dependence: A detrended cross-correlation approach
Oil and US dollar exchange rate dependence: A detrended cross-correlation approach
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DOI：
10.1016/j.eneco.2013.12.008
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发表时间：
2014-03
期刊：
影响因子：
12.8
通讯作者：
J. Reboredo;M. Rivera-Castro;G. F. Zebende
中科院分区：
文献类型：
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作者：
J. Reboredo;M. Rivera-Castro;G. F. Zebende
本文使用去趋势交叉相关分析来检验石油价格和美元汇率之间的关系。对于近期全球金融危机爆发之前和爆发以来的一系列货币，我们在不同时间尺度上描述了油价-汇率关系的特征，并记录了两个主要发现。首先，互相关分析表明，石油价格与汇率的相关性是负的，而且很低，一般来说，在较长的时间尺度内，相关性的数值较低。第二，在全球金融危机爆发后，石油与美元之间的负相关性在所有时间尺度上都有所增加，从而提供了传染性和相互依存性的证据。这一经验证据对货币和财政政策、资产管理和风险评估具有重要意义。
This paper examines the relationship between oil prices and the US dollar exchange rate using detrended cross-correlation analysis. For a wide set of currencies in the periods before and since the onset of the recent global financial crisis, we characterized the oil price–exchange rate relationship at different time scales and documented two main findings. First, the cross-correlation analysis indicated that oil price–exchange rate correlations were negative and low, having in general lower values for longer time scales. Second, negative dependence between oil and the US dollar increased after the onset of the global financial crisis for all time scales, thereby providing evidence of both contagion and interdependence. This empirical evidence has important implications for monetary and fiscal policies, asset management and risk assessment.