Research on the trend of Yen exchange rate and international crude oil price fluctuation affected by Japan’s earthquake
Abstract: Whether this
earthquake would become a turning point of the high oil price and whether it
would have big impact on yen exchange rate are two issues to be discussed in
this paper.
Design/methodology/approach: To analyze deeply the internal relations
between changes in yen exchange rate caused by Japan’s earthquake and price
fluctuation of international crude oil, this research chooses middle rate of
yen exchange rate during the 45 days around Japan’s earthquake and price data
of international crude oil to do an empirical study, uses VAR model and HP
trend decomposition to estimate the mutual effect of yen exchange rate change
and price fluctuation of international crude oil in this period.
Findings: It has been found in the empirical study with VAR model and HP
filter decomposition model on the yen exchange rate and the international crude
oil price fluctuation during 45 days around Japan’s earthquake that: the
fluctuation of yen exchange rate around the earthquake is one of the main
reasons for the drastic fluctuation of international crude oil price in that
period. The fluctuation of international crude oil price directly triggered by
yen exchange rate occupies 13.54% of its total variance. There is a long-term
interactive relationship between yen exchange rate and international crude oil
price. The upward trend of international crude oil price after the earthquake
was obvious, while yen exchange rate remained relatively stable after the
earthquake.
Originality/value: As economic globalization goes deeper, the influence
of natural disasters on international financial market and world economy will
become more and more obvious. It has a great revelatory meaning to studying
further each kind of natural disaster’s impacts on international financial
market and world economics.
Keywords: Yen Exchange Rate,
International Crude Oil Price, Japan’s Earthquake
Author: Xiaoguang Li, Menggang
Li
Journal Code: jptindustrigg140059
