Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility
Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility
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DOI：
10.1080/00036846.2017.1321838
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发表时间：
2018-01
影响因子：
2.2
通讯作者：
Fenghua Wen;Jihong Xiao;Chuangxia Huang;X. Xia
中科院分区：
文献类型：
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作者：
Fenghua Wen;Jihong Xiao;Chuangxia Huang;X. Xia
摘要本文利用Hiemstra和Jones（HP）检验、Diks和Panchenko（DP）检验和时变参数结构向量自回归模型，检验了原油价格与美元汇率之间的非线性格兰杰因果关系和时变影响。利用迭代累积平方和（ICSS）算法和DCC-GARCH模型，研究了结构突变对两个市场波动性的影响。实证分析表明：第一，原油价格是美元汇率的非线性格兰杰原因，而不是美元汇率的非线性格兰杰原因。二是美元汇率短期内对原油价格产生更强、更稳定的负面影响，2012年后影响逐渐减弱。最后，忽视结构性突变会增加石油和美元汇率市场之间的负波动相关性，这在金融危机期间尤为显著。
ABSTRACT This article examines the nonlinear Granger causality and time-varying influence between crude oil prices and the US dollar (USD) exchange rate using the Hiemstra and Jones (HP) test, the Diks and Panchenko (DP) test and the time-varying parameter structural vector autoregression model. By applying the iterated cumulative sums of squares (ICSS) algorithm and the DCC-GARCH model, the effects of structural breaks in volatility of the two markets are also investigated. The empirical analysis indicates that, first, crude oil prices are the nonlinear Granger-cause of the USD exchange rate, but not vice versa. Second, the USD exchange rate exerts a stronger and more stable negative influence on crude oil prices in the short term, and the influence gradually weakens after 2012. Finally, ignoring structural breaks can increase the negative volatility correlation between the oil and USD exchange rate markets, which is particularly remarkable during the financial crisis.