Spillover effect of US dollar exchange rate on oil prices

By Yue‐Jun Zhang, Ying Fan, Hsien-Tang Tsai, Yi-Ming Wei. 2008

381 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c12f70bcd7db8db378ec6382bc46494534638817

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In Economics and Econometrics

Citations in the corpus

Interdependence of oil prices and stock market indices: A copula approach (2014, background): “The importance of the appropriate currency for crude oil pricing stems from the claims that oil price movements are partially due to the currency movements, meaning that exchange rate fluctuations cause oil price movements (Basher and Sadorsky, 2006; Samii and Clemenz, 1988; Zhang et al., 2008).”
The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010, methodology): “It should also be noted that research on crude oil price is a hot topic and a great many of publications concerned have been found up to now (Zhang et al., 2008).”
Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets (2015, background): “In case of US, Lizardo and Mollick, [43] found long run relationship between the series.”
Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2013, background): “dollar exchange rates following a rise in the price of oil (e.g., Narayan et al., 2008; Zhang et al., 2008; Akram, 2009; Wu et al., 2012).”
Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, background): “Conversely, dissenting views provide evidence for the role of the USD exchange rate in determining crude oil prices (Sadorsky 2000; Yousefi and Wirjanto 2004; Zhang et al. 2008; Akram 2009; Shengxiang., Qiang., and Chaoqun.”
Volatility forecasting of crude oil market: A new hybrid method (2018, background): “…crude oil stock levels, supply disruptions and demand shocks, as well as some nonfundamental factors, including US dollar exchange rates, speculative activities, stock market turbulence, unexpected geopolitical events, etc. (Wu & Zhang, 2014; Zhang, 2013; Zhang et al., 2008; Zhang & Wei, 2011).”
The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses (2015, neutral): “dollar effect cover a wide range: the high estimates suggest that a 10 percent appreciation is associated with a decline of about 10 percent in the oil price, whereas the low estimates suggest 3 percent or less (Zhang et al. 2008; and Akram 2009).”