The predictability of exchange rates using oil price changes : a thesis presented in partial fulfilment of the requirements for the degree of Master of Management in Finance at Massey University

This study investigates the predictability of exchange rates using oil price changes. It is found that, on a daily basis, changes in oil prices predict several major currency exchange rate returns. In the twenty-three year sample of daily data for currency markets, a statistically significant predictability is found for the Australian Dollar, the Canadian Dollar, the British Pound, the Norwegian Krone and the New Zealand dollar. These currencies appreciate when oil price increases, and vice versa. While I do reject the random walk model for currency returns, my results do not necessarily imply a rejection of market efficiency. Key words: Foreign exchange rate, oil price.

Name thesis:degree_name

Master of Management (M. Mgt.)

Level thesis:degree_level

Masters

Discipline thesis:degree_discipline

Finance

Grantor dc:publisher

Massey University

Year dc:date.issued

2005

Author dc:creator

• Cui, Yingyao

• Foreign exchange rates
• Econometric models
• Petroleum products -- Prices
• Oil price

Statement dc:rights

• The Author

Language dc:language.iso

en

Identifier

hdl:10179/8559

OAI record oai:identifier

https://mro.massey.ac.nz/server/oai/request?verb=GetRecord&metadataPrefix=dim&identifier=oai%3Amro.massey.ac.nz%3A10179%2F8559