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Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method

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  • Wang, Lu
  • Ruan, Hang
  • Hong, Yanran
  • Luo, Keyu

Abstract

The relationship between financial series is not always easy to detect due to their underlying asymmetry and nonlinearity. Both characteristics are not usually considered simultaneously, which may lead to many drawbacks in financial analysis. Hence, we develop a novel neural Granger causality method from both asymmetric and nonlinear perspectives and further revisit the response and impact of crude oil on the exchange rate. Our findings reveal the unidirectional nonlinear and asymmetric effect of crude oil on the exchange rate; that is, positive and negative oil prices can have a substantial impact on exchange rate shocks. Interestingly, this influence seems to strengthen after the Russia–Ukraine conflict. Besides, we also use simulation technology to evaluate the rationality and effectiveness of our proposed methods. Investors, policymakers, and scholars may be interested in our findings regarding the oil-dollar relationships; as well as interested in applying our methodology to other contexts.

Suggested Citation

  • Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000259
    DOI: 10.1016/j.ribaf.2023.101899
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