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引用次数: 1
摘要
对原油市场和外汇市场收益之间的波动性相互依赖关系进行建模，为了解信息如何从原油市场传递到外汇市场以及反之亦然提供了有用的见解。本文通过将Baba, Engle, Kraft and Kroner (1990) (BEKK)规范应用于原油价格和奈拉/美元汇率来评估原油与外汇市场之间的动态相互依赖关系。BEKK-GARCH(1,1)模型的估计表明，尼日利亚原油市场到外汇市场存在单向冲击和波动传导的证据。单向波动传导的证据为尼日利亚市场之间的部分相互依存提供了支持。这一发现对金融风险管理、外汇市场监管和原油收益管理政策具有重要意义。
DYNAMIC INTERDEPENDENCE BETWEEN CRUDE OIL PRICES AND FOREIGN EXCHANGE MARKET IN NIGERIA
Abstract Modelling volatility interdependence between crude oil and foreign exchange markets returns provides useful insights into how information is transmitted from the crude oil market to the foreign exchange market and vice versa. This paper evaluates dynamic interdependence between crude oil and foreign exchange markets by applying Baba, Engle, Kraft and Kroner (1990) (BEKK) specifications to crude oil prices and Naira/USD exchange rates. Estimates from the BEKK-GARCH (1,1) model indicate evidence of unidirectional shock and volatility transmission from crude oil market to foreign exchange market in Nigeria. Evidence of unidirectional volatility transmission provides support for partial interdependence between the markets in Nigeria. This finding has important implications for financial risk management, foreign exchange market regulation and crude oil revenue management policy.
期刊介绍：
Published by the Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch. Articles in the field of study of Economics (in the widest sense of the word).
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