The Dynamic Relationship Between Oil Prices and Exchange Rates
Author: Hamid Sakaki
Publisher:
Published: 2018
Total Pages: 18
ISBN-13:
DOWNLOAD EBOOKUsing daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates using the DCC-GARCH model. The results show the significantly negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price coincides with US dollar depreciation and vice versa. This correlation strengthens in a negative direction during periods of financial crisis while it shifts to an upward trend after the financial crisis period.