不确定性和制度转换下的汇率与油价:马尔可夫转换VAR方法

Nagmi Aimer, Abdulmula Lusta
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引用次数: 4

摘要

本文分析了2006年1月至2020年8月期间美国经济政策不确定性指数和油价变化对美元汇率的影响。方法:本文采用马尔可夫切换向量自回归(VAR)模型。研究结果显示,汇率的急剧下降是最稳定的。此外,油价对相关货币汇率的影响强于EPU对这些货币汇率的影响。我们还发现,油价的大部分影响是负面的,而对加元和日元汇率的影响是积极的。启示-解决这一调查有助于许多领域涵盖了最近的宏观经济和金融研究。此外,这种研究可以帮助更好地预测货币和石油价格的变化,并为货币和石油创造有利可图的投资和对冲策略。我们考虑了经济政策不确定性(EPU)和石油价格变化对这些市场之间关系的影响,并研究了不同市场条件下这些关系。
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Exchange rates and oil price under uncertainty and regime switching: A Markov-switching VAR approach
Purpose -  This paper analyses the effects of the US economic policy uncertainty index and oil price changes on the dollar exchange rate over a monthly period from January 2006 to August 2020. Methods - This paper uses the Markov-switching Vector Auto-Regressive (VAR) model. Findings -  The results show that the sharp decline regime in the exchange rate is the most stable. In addition, the impact of the oil price on the exchange rate of the concerned currencies is stronger than the effect of EPU on the exchange rate of these currencies. We also find that most of the effects of oil prices were negative, while positive for the Canadian dollar and the Japanese yen exchange rate. Implications -  Addressing this investigation contributes to many of the areas covered in recent macroeconomic and finance research. Moreover, such research can help predict changes in currency and oil prices better and create profitable investment and hedging strategies for currencies and oil. Originality -  We consider the effect of economic policy uncertainty (EPU) and oil price changes on the relationships between those markets and study these relationships under different market conditions.
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来源期刊
自引率
20.00%
发文量
21
审稿时长
12 weeks
期刊最新文献
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