چکیده:
The US dollar is frequently used as the invoicing currency of international crude oil trading. Hence، the fluctuation and risk in US dollar exchange rate is believed to underlie the volatility of crude oil price and especially risk transmission to its market. When the prospect of the US dollar is not considered promising، a large amount of money will flow to the oil market، thus oil price will be driven up. As a result، some new investment and speculation opportunities can be derived for traders. For existence such relationship، controlling and monitoring the financial risk between these two markets is necessary. This paper applied new risk management tool، VaR methodology، and Granger causality test in risk to examine the risk spillover effect in both crude oil market and US dollar exchange market. Results show that، from the perspective of market risk، interaction between crude oil market and US dollar exchange rate does not seem strong. So the effect of extreme risk spillover between two markets proves quite limited.
خلاصه ماشینی:
1- Spillover Effects 2- Risk Spillover 3- Ewing and et al 4- Hammoudeh and et al Specifically, few studies have been conducted on the interaction between international crude oil markets and the United States dollar in terms of the direction and magnitude of the dollar's influence on oil prices.
8 (2008), using econometric techniques including cointegration, VAR model (Vector Autoregressive), ARCH-type models 10, and causality tests, examined the relationship between daily crude oil prices WTI 11 and the Euro exchange rate against the dollar and found that a significant long-term equilibrium relationship exists between them.
Volatility is an important tool in financial economics and macroeconomics, but in practice, volatility only indicates 1 Basher and Sadorsky 2 Chen and et al 3 Faff and Brailsford 4- Chaudhuri and Daniel 5- Cointegration 6- Causality 7- Amano and Van Norden 8- Yue-Jun Zhang and et al 9-Vector Autoregressive 10- Autoregressive Conditional Hetroskedastic 11- West Texas Intermediate 12- Cheung and Ng 13- Engle and et al 14- Hong small risks and during periods of severe market risk, volatility is not capable of accurately measuring risk (Gourieroux and Jasiak 1).
This research, using ARCH and GARCH 3 type models and the Granger causality test in risk, examines the effect of the United States dollar risk spillover on crude oil prices.
5- Conclusion In this study, using ARCH and GARCH type models and the Granger causality in risk test, the risk spillover effect of the United States Dollar on crude oil prices was investigated.
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