Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach
利用WTI原油期货和美元的多边价格，研究石油与美元之间的关联性质，发现1990年海湾战争期间存在传染效应，而2008年和2014年油价暴跌时则出现从石油逃向美元的“逃向优质资产”现象，凸显美元在石油市场动荡中的避险作用。
Abstract The paper utilizes the multilateral prices of West Texas Intermediate futures and the US dollar to study the nature of oil‐dollar linkages. The empirical findings confirm a contagion effect between these two markets in the 1990 Gulf War, while flight‐to‐quality phenomena from oil to the US dollar are confirmed as a common feature for the 2008 and 2014 oil crashes, implicitly emphasizing the safe‐haven role of the US dollar during oil market turmoil. These results offer significant evidence for nonlinear and asymmetric relationship between the crude oil market and the US dollar market during all periods of oil crashes.