Publication Type

Journal Article

Version

publishedVersion

Publication Date

1-2022

Abstract

In recent years, the international crude oil price has become increasingly volatile. It influences the exchange rate changes of relevant countries through economic growth, price level, international balance of payments, and other channels. Such exchange rate fluctuations have caused certain risks for the development of China’s “Belt and Road” Initiative. This article analyzes the impact of oil price changes on the exchange rates of countries. Because the fluctuation of oil prices and exchange rates has shown the characteristics of multiple time scales, this study used the empirical mode decomposition (EMD) method to obtain the long-cycle and short-cycle sequences of oil prices and the exchange rates of various countries, then analyzed the impact of oil price changes on exchange rates under different time scales. The results showed that oil price fluctuations have an impact on the exchange rate changes of countries along the “Belt and Road” under different time scales. However, this effect is asymmetric between oil-producing countries and non-oil-producing countries, and the transmission path of oil prices to exchange rates varies from cycle to cycle.

Keywords

Crude oil price, Exchange rate, Belt and Road, EMD

Discipline

Finance | Finance and Financial Management

Publication

The North American Journal of Economics and Finance

Volume

59

First Page

1

Last Page

16

ISSN

1062-9408

Identifier

10.1016/j.najef.2021.101588

Publisher

Elsevier

Copyright Owner and License

Authors

External URL

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85119073684&doi=10.1016%2fj.najef.2021.101588&partnerID=40&md5=2f3a1facfc0bd15b04deeb3aed8aba29

Additional URL

https://doi.org/10.1016/j.najef.2021.101588

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