%0 Journal Article
%T Why Is the Correlation between Crude Oil Prices and the US Dollar Exchange Rate Time-Varying?¡ªExplanations Based on the Role of Key Mediators
%A Jia Liao
%A Xiangyun Xu
%A Yu Shi
%J -
%D 2018
%R https://doi.org/10.3390/ijfs6030061
%X Abstract Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ¡®very weak correlation¡ªnegative correlation¡ªenhanced negative correlation¡ªweakening negative correlation¡¯, but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a ¡®key mediating factors¡¯ hypothesis which points out that whether there is a common ¡®key mediating factor¡¯ is important source of the time-varying relationship between two assets. We argue that market trend and financial market sentiment undertook the role of ¡®key mediating factor¡¯ during the period of the 2002 to the financial crisis and financial crisis to 2013, while other periods lack the ¡®key mediating factors¡¯. View Full-Tex
%K crude oil price
%K dollar index
%K time-varying
%K key mediating factor
%U https://www.mdpi.com/2227-7072/6/3/61