In this paper, we study the evolution of hourly oil price volatility. Using multiple measures of oil price volatility, we conclude that volatility increased following the onset of COVID-19. After controlling for conventional predictors of oil price volatility, we show that COVID-19 cases and deaths led to an increase in daily oil price volatility by between 8% and 22%. Our results pass a battery of robustness tests.
This paper examines the relationship between the Japanese Yen and the country’s stock returns. Using several variants of econometric models and empirical specifications, we unravel that the depreciation of the Yen vis-à-vis the US dollar led to gains in Japanese stock returns. A one standard deviation depreciation of the Yen during the COVID-19 period (equivalent to 0.588%) improved stock market returns by 71% of average returns We see that this relationship was stronger over the COVID-19 period (January 2020 to August 2020) compared to the pre-crisis period.
We investigate the relationship between the Euro-United States Dollar (Euro/USD) exchange rate and oil futures price using intra-day data. The dataset is on hourly basis from 01/07/2019 to 30/11/2020 and 17-hour per day, from 01:00am to 17:00pm. By employing a predictive regression model, we observe oil price has influenced Euro/USD exchange rate but the evidence is very limited. Further, when we control for the effect of COVID-19, this relationship vanishes. Overall, COVID-19 shows some effect on the exchange rate during March 2020.
There is no predictive ability of oil price on Euro/USD exchange rate after controlling for COVID-19.
In this paper, we examine the relationship between Japanese Yen (vis-à-vis the US dollar) and the crude oil futures price. The novelty is that we use high frequency (intraday hourly) data to examine time-varying predictability. We find limited evidence that oil prices predict the Yen. There is no time-varying predictability relationship.
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