Emerging Markets Finance and Trade ( IF 4.859 ) Pub Date : 2021-11-06 , DOI: 10.1080/1540496x.2021.1990751 Nawaf Almaskati 1
ABSTRACT
We examine the relationship between oil prices, foreign exchange (FX) swaps and local interbank offered rates in the six Gulf Cooperation Council (GCC) countries. We also investigate the potential hedging and diversification benefits from adding oil positions to portfolios containing GCC FX swaps or interest rate positions. Our findings confirm that oil predicts, and in some cases causes, movements in the various GCC FX swaps and interbank offered rates. We also find that the Saudi FX swap market has the highest volatility spillover from the oil market compared to other markets in the region. Furthermore, our analysis shows a significant change in liquidity conditions in the GCC FX swap markets following a sudden shift in oil prices. Lastly, we document the presence of significant risk reduction benefits from adding oil exposure to portfolios of GCC FX swaps or interest rates with risk going down by at least half in the case of the GCC FX swaps.
中文翻译:
海湾合作委员会国家的石油、外汇掉期和利率
摘要
我们研究了海湾合作委员会 (GCC) 六个国家的油价、外汇 (FX) 掉期和当地银行同业拆借利率之间的关系。我们还研究了将石油头寸添加到包含 GCC 外汇掉期或利率头寸的投资组合中的潜在对冲和多元化收益。我们的研究结果证实,石油预测并在某些情况下会导致各种 GCC 外汇掉期和银行同业拆借利率的变动。我们还发现,与该地区其他市场相比,沙特外汇掉期市场对石油市场的波动性溢出最高。此外,我们的分析显示,在油价突然变化之后,海湾合作委员会外汇掉期市场的流动性状况发生了显着变化。最后,