The Research On The Long-term Correlation Between International Crude Oil Price And Exchange Rate And Its Macro-influencing Factors

Currently,as a basic energy source for maintaining national industrial production,transportation,and military construction,oil has an important impact on the world political structure,economic development and military security.With the advent of the 21 st century,oil prices have risen sharply and fluctuated drastically,which is one of the potential threats to the turmoil in the political and economic fields of the world.In addition,the exchange rate policies of countries around the world tend to be market-oriented,and the linkage relationship between exchange rate and oil price has also attracted the attention of scholars.This paper uses the mixed data model to conduct research.The mixed-data model can model low-frequency macroeconomic data and high-frequency financial data to model the impact of macroeconomic fundamentals while preserving the hidden information of high-frequency data.The use of the DCC-MIDAS model helps to separate long-term correlations and short-term correlations between the two variables.First,based on the international oil price(WTI price)and the US dollar index,the US dollar against the Canadian dollar,the US dollar against the Japanese yen,the US dollar against the British pound and the US dollar against the RMB,the DCC-MIDAS model is used to calculate the long-term correlation between international oil prices and exchange rates.The study found that there is a strong negative correlation between the US dollar index,the Canadian dollar exchange rate and the British pound exchange rate and international oil prices.The correlation between the yen exchange rate and the RMB exchange rate and the international oil price is weak,and it floats around 0,sometimes positive.Subsequently,the long-term correlation sequence obtained by the DCC-MIDAS model is taken as the explanatory variable,and the panel data model is selected by macroscopic influence factors,and the macro-influence factors are identified according to the significance of the regression results.The results show that when there is a strong negative correlation between international oil prices and exchange rates,the increase in money supply and the rise in inflation will play a role in further strengthening the negative correlation between the two.This effect is also weakened when the negative correlation between the two is weak.At the same time,the empirical research results also show that the uncertaintyindex of economic policy does not have a significant impact on the long-term correlation between the two.