This study constructs a flexible range-based volatility model by considering extreme-value information to explore the volatility and dependence structures between the oil price and the US dollar exchange rate. An asset-allocation strategy is implemented to evaluate the economic value and confirm...

This paper investigates the impact of changes in the U.S. dollar/euro exchange rate on crude oil prices. The negative correlation of these two variables is ascribed to five possible channels: on the supply side, the purchasing power of oil export revenues and on the demand side, local prices in...

One of the main elements of economic sanctions against Iran due to its nuclear and military programs is crude oil exportation restrictions in addition to investment in Iranian energy related projects. Senders of such sanction are interested in understanding the impacts of such embargos on...

This paper examines the impact of Chinese economic growth on the real price of crude oil based on monthly time series data from 1992:01 to 2017:06 using structural vector auto-regression (SVAR). The variables of the SVAR model are global crude oil production, index of global economic activity,...

Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ‘very weak correlation-negative correlation-enhanced negative correlation-weakening negative correlation’, but the existing...

Oil price showed sharp fluctuations in recent years which revived the interest in its effect on inflation. In this paper, we discuss the relationship between oil price and inflation in Spain, at national and regional levels, and making the distinction between energy and non-energy inflation. To...

Oil price showed sharp fluctuations in recent years which revived the interest in its effect on inflation. In this paper, we discuss the relationship between oil price and inflation in Spain, at national and regional levels, and making the distinction between energy and non-energy inflation. To...

At the workshop organised by the Banque de France some of the most influential researchers in the field discussed recent analytical works on the causes and effects of oil price fluctuations.