Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning
This paper critically analyses the predictability of exchange rates using oil prices. Extant literature that investigates the significance of oil prices in forecasting exchange rates remains largely inconclusive due to limitations arising from methodological issues. As such, this study uses deep l...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2022-07-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/13200 |
| _version_ | 1797908646844170240 |
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| author | Samir Safi Salisu Aliyu Kekere Sule Ibrahim Olajide Idris Sanusi |
| author_facet | Samir Safi Salisu Aliyu Kekere Sule Ibrahim Olajide Idris Sanusi |
| author_sort | Samir Safi |
| collection | DOAJ |
| description |
This paper critically analyses the predictability of exchange rates using oil prices. Extant literature that investigates the significance of oil prices in forecasting exchange rates remains largely inconclusive due to limitations arising from methodological issues. As such, this study uses deep learning approaches such as Multi-Layer Perceptron (MLP), Convolution Neural Network (CNN), and Long Short-Term Memory (LSTM) to predict exchange rates. In addition, the Empirical Mode Decomposition (EMD) of time series dataset was utilized to ascertain its effect on the quality of prediction. To examine the efficacy of using oil prices in forecasting exchange rates, bivariate models were also built. Of the three bivariate models developed, the EMD-CNN model has the best predictive performance. Results obtained show that oil price information has a strong influence on forecasting exchange rates.
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| first_indexed | 2024-04-10T10:55:50Z |
| format | Article |
| id | doaj.art-e9ab887a942145e7b1b527ac520c6e33 |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-04-10T10:55:50Z |
| publishDate | 2022-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-e9ab887a942145e7b1b527ac520c6e332023-02-15T16:19:59ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532022-07-0112410.32479/ijeep.13200Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep LearningSamir Safi0Salisu Aliyu1Kekere Sule Ibrahim2Olajide Idris Sanusi3Department of Analytics in the Digital Era, CBE, United Arab Emirates University, United Arab Emirates,Department of Computer Science, Ahmadu Bello University, Zaria, Nigeria,Department of Economics, Ahmadu Bello University, Zaria, Nigeria,Department of Innovation in Government and Society, CBE, United Arab Emirates University, United Arab Emirates. This paper critically analyses the predictability of exchange rates using oil prices. Extant literature that investigates the significance of oil prices in forecasting exchange rates remains largely inconclusive due to limitations arising from methodological issues. As such, this study uses deep learning approaches such as Multi-Layer Perceptron (MLP), Convolution Neural Network (CNN), and Long Short-Term Memory (LSTM) to predict exchange rates. In addition, the Empirical Mode Decomposition (EMD) of time series dataset was utilized to ascertain its effect on the quality of prediction. To examine the efficacy of using oil prices in forecasting exchange rates, bivariate models were also built. Of the three bivariate models developed, the EMD-CNN model has the best predictive performance. Results obtained show that oil price information has a strong influence on forecasting exchange rates. https://econjournals.com/index.php/ijeep/article/view/13200Exchange rateOil pricesDeep learningConvolution Neural NetworkMultilayer perceptronLong short-term memory |
| spellingShingle | Samir Safi Salisu Aliyu Kekere Sule Ibrahim Olajide Idris Sanusi Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning International Journal of Energy Economics and Policy Exchange rate Oil prices Deep learning Convolution Neural Network Multilayer perceptron Long short-term memory |
| title | Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning |
| title_full | Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning |
| title_fullStr | Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning |
| title_full_unstemmed | Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning |
| title_short | Can Oil Price Predict Exchange Rate? Empirical Evidence from Deep Learning |
| title_sort | can oil price predict exchange rate empirical evidence from deep learning |
| topic | Exchange rate Oil prices Deep learning Convolution Neural Network Multilayer perceptron Long short-term memory |
| url | https://econjournals.com/index.php/ijeep/article/view/13200 |
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