Analyzing the volatility spillover and cointegration relationship between daily spot West Texas intermediate crude oil price and US dollar
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Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Cem ISIK
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In the study, it is aimed to analyze the diffusion and cointegration relationship between WTI and US Dollar in the period of 2016-2021. In the study, after a comprehensive literature review of the theoretical review, the econometric analysis section was started. In the first part of the analysis, the short and long-term relationships between the variables were examined with the autoregressive distributed lag methodology and the existence of a cointegration relationship was reached. According to the findings, the effect of WTI on foreign exchange volatility in the long run is statistically significant and negative. In the short-term evaluation, ECT is negative and significant within expectations. In this context, the changes between the variables approach the long-term equilibrium level. According to the results obtained in the causality and variance causality analyzes applied in the last part of the analysis, it is understood that there is a volatility spillover effect from WTI to foreign currency.
Açıklama
Anahtar Kelimeler
oil, spillover, exchange
Kaynak
Journal of Ekonomi
WoS Q Değeri
Scopus Q Değeri
Cilt
5
Sayı
1
