Futures crude oil prices as predictors of spot prices: lessons from the foreign exchange market

2020 ◽  
Vol 43 (3) ◽  
pp. 391-416
Author(s):  
Imad A. Moosa
Keyword(s):  
Crude Oil ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Oil Prices ◽  
Exchange Market ◽  
Spot Prices ◽  
Crude Oil Prices

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

scholarly journals Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis

2019 ◽  
Vol 11 (5) ◽  
pp. 1359
Author(s):  
Xianfang Su ◽  
Huiming Zhu ◽  
Xinxia Yang
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Causal Relationships ◽  
Causality Analysis ◽  
Futures Prices ◽  
Spot Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Heterogeneous Effects ◽  
Quantile Causality

The causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the fact that a booming or depressing oil market produces heterogeneous investment behaviors, this study applied a quantile causality framework to capture different causalities across various quantile levels and found that the causal relationships between crude oil spot and futures prices significantly derive from tail quantile intervals and appear as heterogeneous effects. Before the Iraq War, crude oil spot and futures prices were mutually Granger-caused at lower quantile levels, and only futures prices led spot prices at upper quantile levels. Since the war, a clear bidirectional causality has existed at the upper quantile levels, but only in lower quantile levels have futures prices led spot prices. These results provide useful information to investors using crude spot or futures prices to hedge or manage downside or upside risks in their portfolios.

scholarly journals Role of Oil Prices in Exchange Rate Devaluation: Risks of the Russian Ruble and Other Currencies

2019 ◽  
Vol 16 (4) ◽  
pp. 76-81
Author(s):  
V. Yu. Didenko ◽  
N. I. Morozko ◽  
N. I. Morozko
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Current Account ◽  
Foreign Exchange Market ◽  
Oil Prices ◽  
Balance Of Payments ◽  
Exchange Market ◽  
The Exchange Rate

Subject and topic. Currently, the decrease in payments on foreign debts and a decrease in imports have an impact on the demand in the foreign exchange market. As a result, a situation has arisen due to the actions of the Bank of Russia, caused by threats of sanctions that provoked the absence of excessive demand and adequate supply in the foreign exchange market and led to a decrease in ruble exchange rate fl uctuations due to oil price movements.The subject of research is to determine the role of oil prices in the formation of monetary policy, which can be a key driver of economic growth.Objective. Identifi cation of exchange rate management practices with the search for the relationship between the current account of the balance of payments and the volatility of the national currency exchange rate.Research methods, the main provisions. Methods used grouping, comparing and summarizing economic indicators to study the characteristics and trends of the monetary policy of China, South Korea and Latin American countries.A critical analysis of the various points of view of leading scientists on the negative or positive impact of the exchange rate on the development of the economy was carried out. At the same time, it is interesting to analyze the views of individual economists that the dependence of the ruble exchange rate on oil prices has recently largely decreased.The main results of the study. Determination of the theoretical relationship between the price of oil and the exchange rate, based on the shock component, either in oil prices or in the exchange rate, with testing the response of the economic variable to this shock.Main conclusions. It was concluded that in the conditions of the economic situation of the last decade, the main problem of export-oriented and import-oriented countries is the imbalance of the current account of the balance of payments, as well as its relationship, primarily with the prices of export goods.

What are the Driving Factors behind the Fluctuation of Crude Oil Prices? : An Independent Component Analysis

2014 ◽  
Vol 1073-1076 ◽  
pp. 2508-2511
Author(s):  
Hui Ping Li ◽  
Li Wei Fan ◽  
Peng Zhou
Keyword(s):  
Independent Component Analysis ◽  
Crude Oil ◽  
Oil Prices ◽  
Component Analysis ◽  
Driving Factors ◽  
Independent Component ◽  
Spot Prices ◽  
Independent Components ◽  
Crude Oil Prices ◽  
Ica Algorithm

This study adopted independent component analysis (ICA) to explore the underlying driving factors affect the international crude oil prices. Three original benchmark crude oil spot prices were first preprocessed to become normalized form by centering and whitening. Three independent components were then estimated by Fast-ICA algorithm. We find that the three independent components vary differently in their fluctuation amplitude and indicate clearly different hidden factors consisting of dominant long-term trend, medium-term extreme events influence, as well as frequent short-term irregular events such as weather and speculation. It shows that ICA is a powerful tool in finding out common hidden driving factors of international parallel crude oil prices.

VOLATILITY OF CRUDE OIL PRICES, FOREIGN EXCHANGE EXPOSURES, AND COMPANY’S PERFORMANCE: EMPIRICAL EVIDENCE FROM TAIWANESE 3PL INDUSTRY

2018 ◽  
Vol 6 (1) ◽  
pp. 53-60
Author(s):  
Hsiao Chiu-Ming ◽  
Chen Chih-Hung ◽  
Lin Chun-Hsuan ◽  
Fang Bo-Wei ◽  
Tang Yen-Ju ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Negative Impact ◽  
Oil Prices ◽  
Foreign Exchange Rate ◽  
Firm Level ◽  
Crude Oil Prices ◽  
The Impact

Purpose of the study: In this paper, we investigate the impact of the changes in crude oil prices and fluctuation of foreign exchange rate on the operating performances of Taiwanese 3PL industry.Methodology: Vector Autoregression Models. Through the empirical model, we find that all the 3PL companies are more suffered to the volatility of WTI and Dubai crude oil prices, but Dubai is insignificant to the warehousing companies. In the fluctuations of foreign exchange rate, some have positive effect and some are negative.Main Findings: All the Taiwanese 3PL companies are more suffered to the volatility of WTI and Dubai crude oil prices, however Dubai is insignificant to the warehousing companies. Moreover, we find an interesting result, that is, for some companies operating performance, the impact on the volatilities of crude oil have the same sign but in opposite direction. For example, in our empirical results, the stock returns are positively correlated to volatilities of Dubai and Brent crude oil prices, however, WTI’s volatility has negative impact on them.Implications: It implies that the company can make a “natural hedge” strategy to hedge the crude oil volatility risk by forming a portfolio which pools these three commodities together. In this way, we made recommendations to the company’s decision-making reminding that the company should make a portfolio of foreign exchange and crude oil price fluctuations in the hedge strategy to enhance the company’s risk management operations and to reduce the loss caused by these factors.Novelty/Originality of this study: This study contributes in the existing literature for an empirically study of a firm-level evidence from Taiwanese 3PL companies.

A Study on Unobserved Structural Innovations of Oil Price: Evidence from Global Stock, Bond, Foreign Exchange, and Energy Markets

2015 ◽  
Vol 18 (01) ◽  
pp. 1550004 ◽  
Author(s):  
Jungho Baek ◽  
Ji-Yong Seo
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Spillover Effect ◽  
Oil Prices ◽  
Energy Market ◽  
Oil Shocks ◽  
Exchange Market ◽  
Demand Shock ◽  
Supply Shock ◽  
Global Stock

This study examines the effects of oil shocks by their respective causes and of volatility spillover including leverage effects. Previous studies did not analyze oil factor by categorizing it into three components (supply shock, demand shock, and market shock) as determinants of rate of return in stock markets, a key issue in finance. Results show that oil shocks determine returns in the global stock market, bond market, foreign exchange market, and energy market, and that their effects vary by types of markets, levels of oil prices, and types of oil shocks. Second, the leverage effect of oil shocks and the spillover effect of volatility in demand shock and market shock are mostly statistically significant during periods characterized by high oil prices.

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