PYC International Energy Conference 2017 Proceeding, 2018
This study aims to analyze the volatility transmission between oil price (WTI), gold p... more This study aims to analyze the volatility transmission between oil price (WTI), gold price (GOLD) and US-Dollar exchange rate (USDX) using Multivariate (BEKK)-GARCH model. We use daily data for the period of 2nd January 2012 to 30th June 2017 (Full Sample). We divided the series into two eras, namely “High-Oil Price” era (2nd January 2012 to 5th December 2014) and “Low-Oil Price” era (8th December 2014 to 30th June 2017). We not only found positive-unidirectional volatility transmissions from WTI to GOLD and WTI to USDX; but also positive-bidirectional volatility transmission between GOLD and USDX at all eras. On the contrary, USDX carry inverse volatility transmission towards WTI at all eras, except at Low- Oil Price era. Despite the result showing a different pattern of volatility transmission between eras, we managed to find the consistent role of volatility transmission from WTI to determine GOLD and USDX at all eras. It shows the important role oil price plays in determining the volatility for both the commodity market and exchange rate around the world. Specifically, the positive volatility transmission of oil price to US-Dollar help explains that the uncertainties taking place in foreign exchange markets are correlated to oil prices to a certain extent. This should serve as an important indicator for many economic agents to take into consideration, especially since it is closely associated with competitiveness and trade balance of a country.
PYC International Energy Conference 2017 Proceeding, 2018
This study aims to analyze the volatility transmission between oil price (WTI), gold p... more This study aims to analyze the volatility transmission between oil price (WTI), gold price (GOLD) and US-Dollar exchange rate (USDX) using Multivariate (BEKK)-GARCH model. We use daily data for the period of 2nd January 2012 to 30th June 2017 (Full Sample). We divided the series into two eras, namely “High-Oil Price” era (2nd January 2012 to 5th December 2014) and “Low-Oil Price” era (8th December 2014 to 30th June 2017). We not only found positive-unidirectional volatility transmissions from WTI to GOLD and WTI to USDX; but also positive-bidirectional volatility transmission between GOLD and USDX at all eras. On the contrary, USDX carry inverse volatility transmission towards WTI at all eras, except at Low- Oil Price era. Despite the result showing a different pattern of volatility transmission between eras, we managed to find the consistent role of volatility transmission from WTI to determine GOLD and USDX at all eras. It shows the important role oil price plays in determining the volatility for both the commodity market and exchange rate around the world. Specifically, the positive volatility transmission of oil price to US-Dollar help explains that the uncertainties taking place in foreign exchange markets are correlated to oil prices to a certain extent. This should serve as an important indicator for many economic agents to take into consideration, especially since it is closely associated with competitiveness and trade balance of a country.
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