• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The relation between oil price and exchange rate : evidence from Norway

Opsal, Even; Rye, Mona Therese
Master thesis
Thumbnail
View/Open
1760089.pdf (4.508Mb)
Preliminary.pdf (1.036Mb)
URI
http://hdl.handle.net/11250/2483160
Date
2017
Metadata
Show full item record
Collections
  • Master of Science [963]
Abstract
This paper investigates if changes in the Crude Brent oil price can predict changes

in the nominal Norwegian Krone – U.S. Dollar exchange rate using daily, weekly,

monthly, and quarterly datasets. The predictability content is evaluated through

several exercises using one-step-ahead pseudo out-of-sample forecasts. The test

results yield a robust out-of-sample relationship using contemporaneous oil price

changes at all test frequencies. We also find that lagged oil prices can predict

future exchange rates using daily and weekly frequencies.

Our main contribution is the evidence that oil prices can significantly

forecast future exchange rates consistently for the sample period under

consideration and that using the correct benchmark for oil price is crucial for

capturing predictability. In addition, we include more recent data and we consider

a new frequency where a transitory predictive ability is found using weekly data.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit