On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2017

On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis

Résumé

The paper investigates the dynamics of oil price volatility by examining interactions between the oil market and the US USD/EUR exchange rate. To this end, we use recent intradaily data to measure realised volatility and to investigate the instantaneous intradaily linkages between different types and proxies of oil price and US$/euro volatilities. We specify the drivers of oil price volatility through a focus on extreme US$ exchange rate movements (intradaily jumps). Accordingly, we find a negative relationship between the US USD/EUR and oil returns, indicating that a US $ appreciation decreases oil price. Second, we note the presence of a volatility spillover from the US exchange market to the oil market. Interestingly, this spillover effect seems to occur through intradaily jumps in both markets.
Fichier principal
Vignette du fichier
WP_EcoX_2017-11.pdf (212.54 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04141662 , version 1 (26-06-2023)

Identifiants

  • HAL Id : hal-04141662 , version 1

Citer

Fredj Jawadi, Wael Louhichi, Hachmi Ben Ameur, Abdoulkarim Idi Cheffou. On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. 2017. ⟨hal-04141662⟩
11 Consultations
24 Téléchargements

Partager

Gmail Facebook X LinkedIn More