The Influence of the International Price of Oil on the Value of the EUR/USD Exchange Rate

Marek Vochozka, Zuzana Rowland, Petr Suler, Josef Marousek

The Influence of the International Price of Oil on the Value of the EUR/USD Exchange Rate

Číslo: 2/2020
Periodikum: Journal of Competitiveness
DOI: 10.7441/joc.2020.02.10

Klíčová slova: oil price, exchange rate, artificial neural networks, time series, competitiveness

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Anotace: A great number of researchers argue that the development of large swathes of the global economy and competitiveness are influenced by fluctuations in international oil prices. The aim of this article is to determine to what extent those fluctuations in oil prices influence the value of the Euro relative to the value of USD. Data on the EUR/USD exchange rate were used for the analysis, with the time series that follow based on the price of Brent Crude. Statistica software (version 13) was used for the data processing. The research was based on a unified procedure with gradual changes in one parameter, namely in the time series (1, 5, 10 and 30 days), following which a regression analysis using neural networks was performed based on 10,000 networks that were generated for each experimental combination. As a result, eight calculations and eight different outcomes were obtained. From each experiment, the 5 artificial neural networks that showed the best results were retained. The outcomes suggest that the EUR/USD exchange rate is strongly dependent on the international price of oil. The impact of fluctuations in the price of oil on the EUR/USD exchange rate can therefore be accurately predicted. These results imply that it is also possible to predict the impact of such fluctuations on the performance of national economies. These predictions can be used to enhance competitiveness, including that of companies actively operating in international markets.