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Oil Price Dynamics and Currency-Hedging Behavior

Author

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  • Agudze, Komla
  • Ibhagui, Oyakhilome

Abstract

For Korea, a major crude oil importer, we document that after crude oil prices spike, cross-currency basis swap spreads tend to tighten as the propensity to currency-hedge rises.

Suggested Citation

  • Agudze, Komla & Ibhagui, Oyakhilome, 2020. "Oil Price Dynamics and Currency-Hedging Behavior," MPRA Paper 100949, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:100949
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    File URL: https://mpra.ub.uni-muenchen.de/100949/2/MPRA_paper_100949.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Agudze, Komla & Ibhagui, Oyakhilome, 2020. "Oil Price Dynamics and Currency-Hedging Behavior: Out-of-sample Appendix," MPRA Paper 100950, University Library of Munich, Germany.

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    More about this item

    Keywords

    Oil prices; currency hedging; cross-currency swaps; dollar-won basis; oil import;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General

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