By a News Reporter-Staff News Editor at Economics Week -- Researchers detail new data in Finance - Economics and Finance. According to news reporting originating in Hubei, People’s Republic of China, by VerticalNews journalists, research stated, “In this study, we obtain the long-term correlation between oil prices and exchange rates by employing the dynamic conditional correlation-mixed data sampling (DCC-MIDAS) model. We then identify the factors that influence the long-term correlation using panel data analysis.”
Financial supporters for this research include National Natural Science Funds for Young Scholar of China, Key Project of the Ministry of Education of China in Philosophy and Social Sciences, JSPS KAKENHI.
The news reporters obtained a quote from the research from the School of Finance, “We find that the long-run correlations between oil prices and exchange rates are negative for all oil exchange rate markets except Japan. We also find that both inflation and term spread have negative effects, while the risk-free interest rate has a positive effect on the long-term correlation between oil prices and exchange rates.”
According to the news reporters, the research concluded: “Importantly, the empirical results show that an increase in inflation will significantly damage the real value of the currency itself.”
For more information on this research see: What determines the long-term correlation between oil prices and exchange rates? North American Journal of Economics and Finance , 2018;44():140-152. North American Journal of Economics and Finance can be contacted at: Elsevier Science Inc, 360 Park Ave South, New York, NY 10010-1710, USA. (Elsevier - www.elsevier.com; North American Journal of Economics and Finance - http://www.journals.elsevier.com/north-american-journal-of-economics-and-finance/)
Our news correspondents report that additional information may be obtained by contacting L. Yang, Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Hubei, People’s Republic of China. Additional authors for this research include X.J. Cai and S. Hamori.
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.najef.2017.12.003. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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CITATION: (2018-05-04), Report Summarizes Economics and Finance Study Findings from School of Finance (What determines the long-term correlation between oil prices and exchange rates?), Economics Week, 257, ISSN: 1945-6913, BUTTER® ID: 015606064
From the newsletter Economics Week.
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