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Can Oil Prices Predict Japanese Yen?

Author

Listed:
  • Neluka Devpura

    (University of Sri Jayewardenepura, Sri Lanka)

Abstract

In this paper, we examine the relationship between Japanese Yen (vis-Ã -vis the US dollar) and the crude oil futures price. The novelty is that we use high frequency (intraday hourly) data to examine time-varying predictability. We find limited evidence that oil prices predict the Yen. There is no time-varying predictability relationship.

Suggested Citation

  • Neluka Devpura, 2021. "Can Oil Prices Predict Japanese Yen?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(3), pages 1-5.
    • Handle: RePEc:ayb:jrnael:16
    DOI: 2021/06/27
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    References listed on IDEAS

    as
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    2. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012. "Oil prices, exchange rates and emerging stock markets," Energy Economics, Elsevier, vol. 34(1), pages 227-240.
    3. Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "Understanding the oil price-exchange rate nexus for the Fiji islands," Energy Economics, Elsevier, vol. 30(5), pages 2686-2696, September.
    4. Nusair, Salah A. & Olson, Dennis, 2019. "The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis," Energy Economics, Elsevier, vol. 78(C), pages 44-63.
    5. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    oil price; japanese yen; time-varying; predictability; exchange rate;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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