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

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dc.contributor.authorCui, Yingyao
dc.date.accessioned2016-08-21T23:46:24Z
dc.date.available2016-08-21T23:46:24Z
dc.date.issued2005
dc.description.abstractThis 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.en_US
dc.identifier.urihttp://hdl.handle.net/10179/8559
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectForeign exchange ratesen_US
dc.subjectEconometric modelsen_US
dc.subjectPetroleum products -- Pricesen_US
dc.subjectOil priceen_US
dc.titleThe 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 Universityen_US
dc.typeThesisen_US
massey.contributor.authorCui, Yingyaoen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Management (M. Mgt.)en_US
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