Spillover effect of US dollar exchange rate on oil prices

Zhang, Yue‐Jun; Fan, Ying; Tsai, Hsien‐Tang; Wei, Yi‐Ming

doi:10.1016/j.jpolmod.2008.02.002

Cited by 327 publications

(139 citation statements)

References 29 publications

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“…Focusing on nominal effective US dollar exchange rates, Krichene [2005Krichene [ , 2006 concludes that an appreciation of the nominal effective dollar exchange rate may lead to both an increase and a decrease in oil prices. Zhang, Fan, Tsai and Wei [2008] and only find a robust explanatory power for the short-run. However, other studies frequently find that commodity prices are weakly exogenous with respect to the exchange rate, a result which may mirror the fact that commodities are priced in competitive world markets [Buetzer et al, 2012].…”

Section: Causalities Running From (Us Dollar) Exchange Rates To Oil Pmentioning

confidence: 82%

Is There a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

Beckmann

Czudaj

2013

SSRN Journal

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Section: Causalities Running From (Us Dollar) Exchange Rates To Oil Pmentioning

confidence: 82%

Is There a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

Beckmann

Czudaj

2013

SSRN Journal

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“…The simple fact that both assets in our data set are quoted in U.S. dollars creates a potential link as well because volatile movements in the U.S. dollar would affect both assets in the same direction. Plus, Tully and Lucey (2007) show that the U.S. dollar is a key variable that exhibits a strong link towards gold and Zhang et al (2008) show the same for oil. Further, gold is quite resistant with respect to inflation while 13 increases in oil prices usually affect the aggregate price level and lead to an increase in inflation, which makes investment in gold more attractive.…”

Section: Structural Changes and Long-term Equilibrium Links: Cointegrmentioning

confidence: 89%

Gold, oil, and stocks: Dynamic correlations

Baruník

Kočenda

Vácha

2016

International Review of Economics & Finance

120

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a dominant feature during times of economic downturn and financial turbulence for all three pairs of the assets under research. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase and become homogenous: the timing differs for the three pairs but coincides with the structural breaks that are identified in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment-horizons perspective, all three assets could be used in a well-diversified portfolio only during relatively short periods. Terms of use: Documents inJEL-Code: C010, C130, C580, F370, G110, G150.

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“…Sadorsky (2000) found that changes in exchange rates impact oil price. Zhang et al, (2008) observed that the influence of the USD on international oil price is significant in the long run, but is limited in short run. Akram (2009) also found that a weaker dollar leads to higher commodity prices.…”

Section: Oil Price Vs Us Dollar Exchange Ratementioning

confidence: 99%

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Arfaoui

Rejeb

2017

EJMBE

122

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This paper takes a global perspective in examining relationships among oil, gold, US dollar and stock prices, using simultaneous equations system to identify direct and indirect linkages for the period spanning from January 1995 to October 2015. Results show significant interactions between the all parties. Indeed, we found negative relation between oil and stock prices but oil price is significantly and positively affected by stock markets, gold and USD. Oil price is also affected by oil future prices and by Chinese oil gross imports. Gold price is concerned by changes in oil, USD and stock market prices but slightly depend on US oil imports and corporate default premium. The US dollar is negatively affected by stock market and significantly by oil and gold prices and also by US consumer price index. Indirect effects always exist which confirm the presence of global interdependencies and involve the financialization process of commodity markets.

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Spillover effect of US dollar exchange rate on oil prices

Cited by 327 publications

References 29 publications

Is There a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

Is There a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

Gold, oil, and stocks: Dynamic correlations

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

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