Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks

Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks

This paper examines the dynamic relationship between crude oil prices and the U.S. exchange rate within the structural break detection context. Based on monthly data from January 1996 to April 2019, this paper identifies structural breaks in movements of oil price and examines the dynamic relationsh...

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Bibliographic Details
Main Authors: Yue Liu, Pierre Failler, Jiaying Peng, Yuhang Zheng
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Energies
Subjects:
oil price
exchange rate
TVP-VAR model
economic policy uncertainty
Online Access:https://www.mdpi.com/1996-1073/13/9/2395

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