Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility

被引：179
作者：
Wen, Fenghua [1 ]
Xiao, Jihong [1 ]
Huang, Chuangxia [2 ]
Xia, Xiaohua [3 ,4 ]
机构：
[1] Cent S Univ, Sch Business, Changsha, Hunan, Peoples R China
[2] Changsha Univ Sci & Technol, Coll Math & Comp Sci, Changsha, Hunan, Peoples R China
[3] Renmin Univ China, Sch Econ, Beijing, Peoples R China
[4] Renmin Univ China, Inst Chinas Econ Reform & Dev, Beijing, Peoples R China
来源：
APPLIED ECONOMICS | 2018年 / 50卷 / 03期
关键词：
Crude oil prices; US dollar exchange rate; nonlinear Granger causality; time-varying influence; structural breaks in volatility; EMERGING STOCK MARKETS; CRUDE-OIL; GRANGER CAUSALITY; ECONOMETRIC-ANALYSIS; ENERGY-CONSUMPTION; ECONOMIC-GROWTH; PRICES; FUTURES; MODELS; GOLD;
D O I：
10.1080/00036846.2017.1321838
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：319 / 334
页数：16
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