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Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies

Author

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  • Changyu Liu

    (Business School, Shandong Normal University, Jinan 250014, China)

  • Muhammad Abubakr Naeem

    (School of Economics and Finance, Massey University, Auckland 24300, New Zealand)

  • Mobeen Ur Rehman

    (Department of Accounting, Analysis and Audit, South Ural State University, 454080 Chelyabinsk, Russia)

  • Saqib Farid

    (School of Business & Economics, University of Management & Technology, Lahore 54770, Pakistan)

  • Syed Jawad Hussain Shahzad

    (Department of Accounting, Analysis and Audit, South Ural State University, 454080 Chelyabinsk, Russia
    Finance, Control and Law Department, Montpellier Business School, 34080 Montpellier, France)

Abstract

The research investigates the safe-haven, hedging, and diversification function of crude oil for conventional currencies, among which five are major oil exporters, and six are major oil importers. In order to model time-varying dynamic correlations between crude oil and currencies, the study uses the Asymmetric-DCC model. The findings highlight low or negative correlations, especially during the crisis period. Next, we employ a quantile based regression framework and conclude distinct safe-haven and hedge functions of oil for major currencies. We provide additional evidence on the safe-haven, hedging, and diversification function of crude oil using the cross-quantilogram framework. The findings of out of sample analysis illustrate that the hedging effectiveness of oil is greater for oil-exporting countries. In addition, the conditional diversification benefit of oil is higher in the lower quantiles, i.e., when both foreign exchange and oil markets are in a bearish state. Finally, implications for investors, portfolio managers, and policymakers are further discussed.

Suggested Citation

  • Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:17:p:4354-:d:402987
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