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

Authors : Utku ALTUNÖZ

Pages : 21-31

Doi:10.58251/ekonomi.1255288

View : 69 | Download : 125

Publication Date : 2023-06-30

Article Type : Research Paper

Abstract :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.
Keywords : oil, spillover, exchange