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US dollar and oil market uncertainty: New evidence from explainable machine learning

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  • Kocaarslan, Baris

Abstract

This study uses the CatBoost algorithm along with the Shapley Additive Explanation method to explore the link between the US dollar and oil market uncertainty, while also considering other macroeconomic factors. We find that the US dollar is the most influential factor affecting oil market uncertainty compared to other economic risks and uncertainties. Increased levels of the US dollar are significantly associated with higher levels of oil market uncertainty. Furthermore, the US dollar exhibits the highest level of interaction with gold market uncertainty. Our analysis offers valuable insights into the role of the US dollar's strength in oil market dynamics.

Suggested Citation

  • Kocaarslan, Baris, 2024. "US dollar and oil market uncertainty: New evidence from explainable machine learning," Finance Research Letters, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057
    DOI: 10.1016/j.frl.2024.105375
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    More about this item

    Keywords

    US dollar; Oil market uncertainty; Gold market uncertainty; Machine learning; Explainable artificial intelligence model;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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