Oil Price Dynamics and Currency-Hedging Behavior

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Oil prices, currency hedging, cross-currency swaps, dollar-won basis, oil import
• Subjects: F - International Economics > F0 - General

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