Effect of COVID-19 on the relationship between Euro/USD exchange rate and oil price

We investigate the relationship between the Euro-United States Dollar (Euro/USD) exchange rate and oil futures price using intra-day data. The dataset is on hourly basis from 01/07/2019 to 30/11/2020 and 17-hour per day, from 01:00am to 17:00pm. By employing a predictive regression model, we observe...

Descripción completa

Detalles Bibliográficos
Autor principal: Devpura, Neluka
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2021
Materias:
Method Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8374278/
https://www.ncbi.nlm.nih.gov/pubmed/34434784
http://dx.doi.org/10.1016/j.mex.2021.101262
Descripción
Sumario:We investigate the relationship between the Euro-United States Dollar (Euro/USD) exchange rate and oil futures price using intra-day data. The dataset is on hourly basis from 01/07/2019 to 30/11/2020 and 17-hour per day, from 01:00am to 17:00pm. By employing a predictive regression model, we observe oil price has influenced Euro/USD exchange rate but the evidence is very limited. Further, when we control for the effect of COVID-19, this relationship vanishes. Overall, COVID-19 shows some effect on the exchange rate during March 2020. • There is no predictive ability of oil price on Euro/USD exchange rate after controlling for COVID-19.

Ejemplares similares