Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting
نویسندگان
چکیده
The relationships between crude oil prices and exchange rates have always been of interest to academics policy analysts. There are theoretical transmission channels that justify such links; however, the empirical evidence is not clear. Most studies on causal in this area restricted a linear framework, which can omit important properties investigated dependencies could be exploited for forecasting purposes. Based nonlinear Granger causality tests, we found strong bidirectional relations two currency pairs: EUR/USD, GBP/USD, weaker JPY/USD. We showed significance these has changed recent years. also made an attempt find effective strategy forecast using as regressors vice versa. To aim, applied Support Vector Regression (SVR)—the machine learning method time series modeling forecasting.
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ژورنال
عنوان ژورنال: Energies
سال: 2021
ISSN: ['1996-1073']
DOI: https://doi.org/10.3390/en14196043