Research On The Risk Spillover Effect Between International Crude Oil Futures Price And Exchange Rates Of Crude Oil Importing And Exporting Countries

The US dollar is the main quotation and settlement currency for crude oil trade,and crude oil importing or exporting countries need their currency to exchange for US dollar when trading crude oil,which determines the close relationship between crude oil price and exchange rate.Under the background of increasing global demand for crude oil,fluctuating international crude oil prices and exchange rate of crude oil importing and exporting countries,the economic status and energy demand of crude oil importing and exporting countries are different.If every countries want to cope with price and risk transfer between crude oil market and exchange rate market,and to prevent market risks in advance and to formulate effective National energy policy and exchange rate policy,it is necessary to understand the risk spillover effect between international crude oil futures price and exchange rates.Therefore,what is the relationship between international crude oil futures prices and exchange rates? what is the risk spillover effect between international crude oil futures prices and exchange rates? Is this risk spillover effect the same for different types of countries? In addition,is this risk spillover effect the same before and after the shale oil revolution in the United States? For the exploration of the above problems,there are fewer academic.Therefore,this paper has certain theoretical and practical significance for the study of the risk spillover effects between international crude oil futures prices and exchange rates.This paper combines theory with empirical evidence.In the theoretical part,the paper analyzes the influence mechanism between international crude oil price and exchange rate of crude oil importing and exporting countries or US dollar,then this paper puts forward corresponding assumptions.Based on the previous conclusions of asymmetric negative dependence between crude oil prices and exchange rates,this paper selects the half rotation Copula function for empirical research.The empirical part,firstly,this paper selects Brent crude oil futures price,exchange rates of crude oil importing and exporting countries,US dollar index as research objects,and selects the GARCH model to fit the the edge distribution.Secondly,this paper uses common Copula function and the half rotation Copula function to fit the dependence structure between Brent crude oil futures price and exchange rates of crude oil importing and exporting countries.According to the AIC information criterion,this paper selects the optimal Copula function which is the half rotation Copula function.Then,based on the half rotation Copula function,this paper calculates the CoVaR between Brent crude oil futures price and exchange rates of crude oil importing and exporting countries,so as to analyze the direction of risk spillover effect and the risk spillover effect intensity.Next,this paper divides the sample period into two stages before and after the shale oil revolution,and analyzes the risk spillover effect between Brent crude oil futures price and US dollar index.Finally,this paper uses the WTI crude oil instead of Brent crude oil to test the robustness of the above conclusions.On this basis,this paper puts forward corresponding policy suggestions for crude oil importing and exporting countries.The empirical research in this paper shows that: Firstly,there is a negative correlation between the international crude oil futures price and the exchange rate of crude oil importing and exporting countries or US dollar.Secondly,there is a positive risk spillover effect between Brent crude oil futures price and exchange rates of crude oil importing and exporting countries,and there is also a positive risk spillover effect between Brent crude oil futures price and US dollar index.Thirdly,for oil importing countries,the risk spillover effect intensity of exchange rates on Brent crude oil futures price is greater than that of Brent crude oil futures price on exchange rates(except RMB exchange rate).For crude oil exporting countries,the risk spillover effect intensity of Brent crude oil futures price on exchange rates is greater than that of exchange rates on Brent crude oil futures price.Fourthly,before the shale oil revolution,the risk spillover effect intensity of US dollar index on Brent crude oil futures price is greater than that of Brent crude oil futures price on US dollar index.After the shale oil revolution,the risk spillover effect intensity of Brent crude oil futures price on US dollar index is greater than that of US dollar index on Brent crude oil futures price.This paper has the following innovations: Firstly,the current research results are mainly focused on the relationship between crude oil spot prices and single country currency or single class country currencies.And the conclusions about the direction of the risk spillover effect between international crude oil prices and exchange rates are inconsistent.In addition,there is little research on the risk spillover effect intensity.Therefore,this paper selects five exchange rates of crude oil importing countries and five exchange rates of crude oil exporting countries to research the risk spillover effect between international crude oil futures price and exchange rates of crude oil importing and exporting countries,the research is a useful complement to the existing results on the relationship between crude oil prices and exchange rates.Secondly,the existing research results did not consider the impact of the American shale oil revolution when studying the risk spillover effect between international crude oil futures price and US dollar index.But since 2012 after the shale oil revolution in the year,American crude oil production has increased significantly and crude oil exports have risen sharply,while the external demand has declined,then America has gradually transformed from a big importer of crude oil to a big exporter of crude oil.Therefore,this paper divides the sample period into two stages before and after the shale oil revolution,to analyzes the risk spillover effect between international crude oil futures prices and US dollar index in these two stages.Thirdly,the current research results of the risk spillover effect between crude oil price and exchange rates are mainly through linear model to study,such as the cointegration test,the granger causality test and VAR model,only part of the literatures are based on Copula models to analyze the nonlinear dependency relationship between crude oil price and exchange rates,but it is worth noting that these Copula models can not capture asymmetric negative dependency between financial markets.Therefore,based on the principle of the half rotation Copula function,this paper uses it to fit the data,because it can fit the data better according to the previous conclusions of asymmetric negative dependence between crude oil price and exchange rates.