Cross-correlations between crude oil and exchange markets for selected oil rich economies

• Cross-correlations between crude oil and five FX markets are investigated.
• The results from cross-correlation statistics and coefficients confirm the existence of cross-correlations.
• Strong multifractality between crude oil and selected FX markets is found in both short- and long-terms.
• With rolling window analysis, we find that cross-correlations between crude oil and FX markets are persistent.
• Cross-correlation scaling exponents exhibit volatility due to its sensitivity to sudden events.

Using multifractal detrended cross-correlation analysis (MF-DCCA), this paper studies the cross-correlation behavior between crude oil market and five selected exchange rate markets. The dataset covers the period of January 1,1996–December 31,2014, and contains 4,633 observations for each of the series, including daily closing prices of crude oil, Australian Dollars, Canadian Dollars, Mexican Pesos, Russian Rubles, and South African Rand. Our empirical results obtained from cross-correlation statistic and cross-correlation coefficient have confirmed the existence of cross-correlations, and the MF-DCCA results have demonstrated a strong multifractality between cross-correlated crude oil market and exchange rate markets in both short term and long term. Using rolling window analysis, we have also found the persistent cross-correlations between the exchange rates and crude oil returns, and the cross-correlation scaling exponents exhibit volatility during some time periods due to its sensitivity to sudden events.