Oil Price Volatility and Foreign Exchange Rates Nexus: Evidence From Emerging Countries in COVID-19 Period
Administrative and Economic Science Research, Theory, Yuksel Akay UNVAN, Editör, Livre de Lyon, Lyon, ss.1-22, 2021
- Yayın Türü: Kitapta Bölüm / Araştırma Kitabı
- Basım Tarihi: 2021
- Yayınevi: Livre de Lyon
- Basıldığı Şehir: Lyon
- Sayfa Sayıları: ss.1-22
- Editörler: Yuksel Akay UNVAN, Editör
- İstanbul Üniversitesi-Cerrahpaşa Adresli: Evet
Özet
Emerging countries' dependence on oil will continue as long
as they continue to grow. Therefore, emerging countries' economies are closely
affected by fluctuations in oil prices due to the most important input of the
production process. Although technology and productivity gains in OECD
countries have been flat in recent years, the demand for oil is increasing due
to rapid growth in emerging markets. For example, oil consumption in emerging
countries such as China, Brasil, Argentina, India, Turkey, Rusia and South
Africa has increased by about 16% in the last five years (CFR, 2021).
In 1987, a major crisis occurred in the United States, and
demands for the risk to be measured due to uncertainties in the financial
markets in the crisis environment began to increase. Thus, volatility indices
have started to be created to measure risk. The first uncertainty measurement
was in 1993 with the first volatility index (VIX index), using the implicit
volatility of stock index options by the Chicago Board Options Exchange (CBOE).
In 2004, CBOE began to simplify the volatility index calculation methodology
even further and to create a volatility index in emerging countries. After
increasing volatility between 2007 and 2008, three new uncertainty indices
began to be calculated in July 2008 to measure the uncertainty in oil and gold
prices and the Euro / Dollar parity. The calculation method of this new index
uses the VIX index calculation method, which measures uncertainty in the stock
market. The CBOE Crude Oil Volatility Index (OVX), which is the main subject of
this study, is calculated over the US oil fund option prices and measures the
market expectation for the 30-day volatility of crude oil prices. The GVZ index
is calculated through options written on SPDR gold shares, which reflects the
30-day volatility of gold prices, while another index, the EVZ, is based on the
currency shares euro confidence options and measures the market expectation for
the 30-day volatility of the Euro/Dollar exchange rate. (Siriopoulos and
Fassas, 2013, p. 234).
As a result of this study, the
relationship between the OVX index, which is an indicator of the uncertainty in
oil prices, and the currencies of developing countries are tried to be
determined during the covid-19 pandemic period. Therefore, the OVX index and
the exchange rates of ten developing countries – Turkey, Argentina, Brazil,
Indonesia, Philippines, South Africa, India, Mexico, Poland and Russia – are
chosen as examples to examine the causal relationship between exchange rates.