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### 石油金融化、投资者预期与石油-美元''机制的结构变动 ------基于原油双重属性视角的研究

1. 浙江工商大学金融学院,杭州  310018
• 出版日期:2021-06-25 发布日期:2021-09-17

WANG Panpan. Oil Financialization, Investor Expectation and the Structural Change of Dollar-Oil Nexus: Research Based on Dual Attributes of Crude Oil[J]. Journal of Systems Science and Mathematical Sciences, 2021, 41(6): 1585-1609.

### Oil Financialization, Investor Expectation and the Structural Change of Dollar-Oil Nexus: Research Based on Dual Attributes of Crude Oil

WANG Panpan

1. School of Finance, Zhejiang Gongshang University, Hangzhou 310018
• Online:2021-06-25 Published:2021-09-17

This study examines the dynamic relationship between the US dollar exchange rate and oil prices. Based on the commodity and financial attributes of crude oil, we first theoretically analyze the pricing, settlement and portfolio effects of the US dollar exchange rate on crude oil prices. To account for the asymmetric impacts of structural break and oil financialization on dollar-oil nexus, we then embed the dollar-oil relation to a VAR framework with structural breaks and oil financialization thresholds. We further investigate the impact of investor expectations on dollar-oil nexus under the condition of oil financialization using investor self-adaptive expectation model. The results show that: First, the dollar-oil relationship has undergone significant structural change in 2001. Second, the deepening oil financialization is important reason for the structural change. The deepening oil financialization after 2001 makes the portfolio effect become the dominant effect of dollar exchange rate on oil prices. No matter in the long run or short run, the unidirectional negative causation from dollar exchange rate to oil prices is found significant. Third, under the condition of oil financialization, the impact of investor expectations on dollar-oil relation is substantial. A sharp increase in dollar exchange rate volatility largely strengthens investors' unilateral expectation to the future trend of dollar exchange rate, which will further enhance the portfolio effect, resulting in an even larger negative effect of dollar exchange rate on oil prices.
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