Research On The Impact Of Oil Price Shocks On Exchange Rate Based On Long-term Change And Short-term Change

Oil price and exchange rate have been widely concerned by the international community,the change of oil price has important influence on international politics and economy.Under the background of global economic integration,the exchange rate has a profound impact on international trade and international finance.Understanding the impact of oil price shocks on exchange rate and forecasting the trend of exchange rates is of reference value and significance for economic development policies.This paper establishes time series models and a multivariate fractional grey model to study the correlation between oil price and exchange rate from the perspective of long-term change and short-term change and forecasts development trend of exchange rate.The main contents are as follows:First of all,the impact of oil price shocks on exchange rate of the US dollar against the RMB based on long-term change and the influence of other possible external factors on exchange rate.The error correction GARCH model(ECM-GARCH)is established to analyze the dynamic relationship between the oil price and exchange rate.However,this model ignores the influence of external factors on the correlation between the two.External factors are treated as a whole,thus introducing new variables in the above model to analyze the effects of changes in external factors and oil price on exchange rates during long-term change and proposing an improved ECM-GARCH model.Conditional posterior distribution of parameters is derived by Bayesian formula,the MCMC algorithm is used to estimate the parameters of the improved ECM-GARCH model.Monte carlo experiments are used to evaluate the performance of the MCMC estimation.Research shows that there are other external factors that cannot be ignored that will affect the exchange rate fluctuations.From the perspective of long-term change,oil price is negatively correlated with exchange rate,but the impact of oil price shocks on the exchange rate changes dynamically.In some periods,there will be a phased correlation reversal.Secondly,establishing a multivariable fractional delay grey model(FGM(q,N,?))to forecaste development trend of the exchange rate based on oil price shocks of short-term change.Based on traditional multi-variable grey model,grey correlation analysis is used to calculate the lag time of exchange rate on oil price.Deducing the analytical formula of the new model,obtaining order of fractional model by particle swarm search algorithm,estimating model parameters by least squares.Measuring the advantages and disadvantages of the model by relative error percentage,comparing the prediction effect of different grey models,results shows that the multi-variable time-delay fractional grey model of this paper has better fitting accuracy,the forecast of the exchange rate is more accurate.Finally,this paper concludes the impact of oil price shocks on exchange rate based on long-term change and short-term change.In the long-term change,oil price is negatively correlated with exchange rate,oil price is weak positively correlated with exchange rate because of external factors in some periods.In the short-term change,lag effect exists in the relationship of oil price and exchange rate,the exchange rate is inconsistent with the development of oil price.Through the short-term change in oil price can accurately predict the trend of exchange rate.