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	Spillover effect of us dollar exchange rate on oil prices
	Zhang, Yue-Jun1,2; Fan, Ying1; Tsai, Hsien-Tang3; Wei, Yi-Ming1
刊名	Journal of policy modeling
	2008-11-01
卷号	30期号:6页码:973-991
关键词	International crude oil price Us dollar exchange rate Mean spillover effect Volatility spillover effect Risk spillover effect
ISSN号	0161-8938
DOI	10.1016/j.jpolmod.2008.02.002
通讯作者	Wei, yi-ming(ymwei@deas.harvard.edu)
英文摘要	The us dollar is frequently used as the invoicing currency of international crude oil trading. hence, the fluctuation in us dollar exchange rate is believed to underlie the volatility of crude oil price and especially its forecasting accuracy. using econometric techniques including cointegration, var model, arch type models and a newly proposed approach to test granger causality in risk, three spillover effects are explored, i.e., mean spillover, volatility spillover and risk spillover. using rigorous appraisal, analysis is made of the influence of us dollar exchange rate on the international crude oil price from the perspective of market trading and several findings have been obtained. firstly, a significant long-term equilibrium cointegrating relationship can be identified between the two markets. this suggests a crucial reason for the fluctuation in crude oil price. but interestingly, the reverse does not work. specifically, the influence of a standard deviation disturbance of us dollar exchange rate on oil price is increased quite slowly, and reaches its highest point, 1.0088 us dollars per barrel, after i year or so with a slightly and steadily diminishing process afterward. this implies that the us dollar depreciation for the years under investigation was a key factor in driving up the international crude oil price. secondly, there is apparent volatility and clustering for the two market prices, whereas their volatility spillover effect is insignificant, which reveals that their price volatility take relatively independent paths and the instant fluctuation in us dollar exchange rate will not cause significant change in the oil market. finally, their risk spillover effect appears quite limited, hence price risk influence of us dollar exchange rate on the oil market is not necessarily emphasized too much. put it another way, compared with the powerful oil market, the impact of us dollar exchange rate is confirmed to be relatively partial. these results indicate that the influence of us dollar exchange rate on the international crude oil market proves quite significant in the long term; however, its short-term and instant influence turns out to be quite limited, which is noteworthy to be taken into account for oil market researchers, market trading analysts and traders. (c) 2008 society for policy modeling. published by elsevier inc. all rights reserved.
WOS关键词	STOCK-MARKET ; SHOCKS ; FUTURES ; MODELS
WOS研究方向	Business & Economics
WOS类目	Economics
语种	英语
出版者	ELSEVIER SCIENCE INC
WOS记录号	WOS:000260684700003
内容类型	期刊论文
URI标识	http://www.corc.org.cn/handle/1471x/2389537
专题	中国科学院大学
通讯作者	Wei, Yi-Ming
作者单位	1.Chinese Acad Sci, IPM, Ctr Energy & Environm Policy Res, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Grad Univ, Beijing 100080, Peoples R China 3.Natl Sun Yat Sen Univ, Dept Business Management, Kaohsiung 80424, Taiwan
推荐引用方式 GB/T 7714	Zhang, Yue-Jun,Fan, Ying,Tsai, Hsien-Tang,et al. Spillover effect of us dollar exchange rate on oil prices[J]. Journal of policy modeling,2008,30(6):973-991.
APA	Zhang, Yue-Jun,Fan, Ying,Tsai, Hsien-Tang,&Wei, Yi-Ming.(2008).Spillover effect of us dollar exchange rate on oil prices.Journal of policy modeling,30(6),973-991.
MLA	Zhang, Yue-Jun,et al."Spillover effect of us dollar exchange rate on oil prices".Journal of policy modeling 30.6(2008):973-991.

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