Mikhaylov Alexey, Bhatti Ishaq M, Dinçer Hasan, Yüksel Serhat
Financial University under the Government of the Russian Federation, Leningradsky Ave, 49, Moscow, Russia 125167.
Department of Economics, Finance and Marketing, La Trobe University, Plenty Rd & Kingsbury Dr, Bundoora, Melbourne, VIC 3086 Australia.
Comput Econ. 2022 Nov 10:1-34. doi: 10.1007/s10614-022-10341-8.
This article is dedicated analyzing the interdependence of oil prices and exchange rate movements of oil exporting countries (the Russian ruble, Euro, Canadian dollar, Chinese yuan, Brazil real, Nigerian naira, Algerian dinar). The study also considers risk-based oil market spillovers in global crisis periods with integrated decision recommendation systems. For this purpose, a fuzzy decision-making model is created by considering the bipolar model and imputation of expert evaluations with collaborative filtering. The main contribution of this study is both its econometric analysis and evaluations based on expert opinions. This helps reach more crucial results. All three of the recent shocks (2008, 2012, 2020) in the oil market are transmitted to foreign exchange markets of oil-producing countries. At the same time, the last shock of 2020 caused by the COVID-19 pandemic has not yet been fully reflected on the Russian ruble exchange rate. Correlation parameters became weaker in the last year, as the Russian ruble correlation coefficient fluctuates between - 0.5 and 0.5. However, before 2020 the spillover effect had a higher significance (in the range from - 0.8 to - 0.1). Nigerian naira and Algerian dinar were showing almost the same movements, while the Russian Ruble was in a different trading range.
本文致力于分析油价与石油出口国汇率变动(俄罗斯卢布、欧元、加元、人民币、巴西雷亚尔、尼日利亚奈拉、阿尔及利亚第纳尔)之间的相互依存关系。该研究还通过综合决策推荐系统考虑全球危机时期基于风险的石油市场溢出效应。为此,通过考虑双极模型和利用协同过滤进行专家评估的归因,创建了一个模糊决策模型。本研究的主要贡献在于其计量经济学分析以及基于专家意见的评估。这有助于得出更关键的结果。近期石油市场的三次冲击(2008年、2012年、2020年)均传导至产油国的外汇市场。与此同时,由新冠疫情引发的2020年的最后一次冲击尚未在俄罗斯卢布汇率上得到充分体现。去年相关参数变弱,因为俄罗斯卢布的相关系数在-0.5至0.5之间波动。然而,在2020年之前,溢出效应具有更高的显著性(范围在-0.8至-0.1之间)。尼日利亚奈拉和阿尔及利亚第纳尔表现出几乎相同的走势,而俄罗斯卢布处于不同的交易区间。