IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v25y2025i7p1031-1046.html
   My bibliography  Save this article

Realized skewness of oil price returns and the short-term predictability for exchange rate

Author

Listed:
  • Yaojie Zhang
  • Yuqing Feng
  • Chaojian Wei

Abstract

When predicting exchange rate returns, existing models find it difficult to defeat naive random walk models. We propose the realized skewness of oil returns to predict exchange rates for nine countries. The results show that it is statistically and economically more effective than the random walk model. Moreover, realized skewness can offer complementary predictive information about what is previously known about oil prices and oil volatility. It is noteworthy that the superior predictability of realized skewness is linked to inflation rates, behavioral bias, and risk transmission channels. Furthermore, the predictive power of realized skewness for exchange rates stems from the jump and drift components.

Suggested Citation

  • Yaojie Zhang & Yuqing Feng & Chaojian Wei, 2025. "Realized skewness of oil price returns and the short-term predictability for exchange rate," Quantitative Finance, Taylor & Francis Journals, vol. 25(7), pages 1031-1046, July.
    • Handle: RePEc:taf:quantf:v:25:y:2025:i:7:p:1031-1046
    DOI: 10.1080/14697688.2025.2522177
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2025.2522177
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2025.2522177?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:25:y:2025:i:7:p:1031-1046. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.