Munich Personal RePEc Archive

Oil Price Dynamics and Currency-Hedging Behavior

Agudze, Komla and Ibhagui, Oyakhilome (2020): Oil Price Dynamics and Currency-Hedging Behavior.

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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.

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