Abstract:

This study scrutinizes the hedge capabilities of Brent Crude Oil against the currency of oil exporting countries and importing countries. The research is relies on the C-Vine model. The findings affirm a negative dependence among Brent Crude Oil and all currencies through the full sample period, and mainly during the pandemic of COVID-19 and the Russian invasion of Ukraine. Outcome of analysis support the prominence of Brent Crude Oil as a hedge and as a safe haven against the fluctuations of main currencies. Particularly, examination results highlight that increases in Brent oil prices in countries that are net oil exporters and importers are associated with the depreciation of that country's currency against the dollar. Specifically, study results mean that a rise in the oil price is related to a dollar appreciation and vice versa. Against the backdrop of this crisis, examination results reveal that there is exceptionally a positive correlation between Brent and the Russian ruble during the war between Russia and Ukraine. The Investigative conclusions support that oil is a weak hedge and a weak safe haven against the Russian ruble.

Keywords:

Crude Oil; Exchange rate; Hedging; C-Vine Copula; Crisis.

How to Cite:

Mouna Ben Saad Zorgati. Assessing the Hedge Potential of Brent Crude Oil against the Currency of Oil-Exporting and Oil-Importing Countries: Application of C-Vine Model. [ref]: vol.21.2023. available at: https://refpress.org/ref-vol21-a155/