Analyzing the volatility spillover and cointegration relationship between daily spot West Texas intermediate crude oil price and US dollar

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dc.contributor.authorAltunöz, Utku
dc.date.accessioned2025-03-23T18:53:00Z
dc.date.available2025-03-23T18:53:00Z
dc.date.issued2023
dc.departmentSinop Üniversitesi
dc.description.abstractIn 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.
dc.identifier.doi10.58251/ekonomi.1255288
dc.identifier.doihttps://doi.org/10.58251/ekonomi.1255288
dc.identifier.endpage31
dc.identifier.issn2687-2390
dc.identifier.issue1
dc.identifier.startpage21
dc.identifier.urihttps://hdl.handle.net/11486/2059
dc.identifier.volume5
dc.institutionauthorAltunöz, Utku
dc.language.isoen
dc.publisherCem ISIK
dc.relation.ispartofJournal of Ekonomi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_DergiPark_20250323
dc.subjectoil
dc.subjectspillover
dc.subjectexchange
dc.titleAnalyzing the volatility spillover and cointegration relationship between daily spot West Texas intermediate crude oil price and US dollar
dc.typeArticle

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