Risk Spillover Effect Analysis Between Oil And Exchange Rate: Based On MV-CAViaR Model

The co-movement of oil market and exchange market is a topical issue in finance research. Most literature in this field concentrated on the analysis of the relativity be-tween the prices or yields of these two markets. Based on the model of MV-CAViaR, the spillover effect of risk between these two markets was analyzed from the perspective of risk (quantile) in this paper. Through the establishment of MV-CAViaR on divided data, the influence of the financial crisis on the spillover effect of risk was analyzed. The whole sample empirical results show that all exchange rates have spillover effect on the oil market, while the oil market does not have spillover effect on all exchange rates. Sectional empirical results show that the oil market and the exchange rate of the dollar index/dollar-against-yen/dollar-against-Canadian dollar have spillover effect on each other during crisis period, which doesn’t exist during pre-crisis period or recov-ery period. The financial crisis doesn’t change the spillover effect between oil market and the exchange rate of dollar-against-pound/dollar-against-Euro obviously.