Abstract
It has been found in the empirical study with VAR model and HP filter decomposition model on the yen exchange rate and the international crude oil price fluctuation during 45 days around Japan’s earthquake that: the fluctuation of yen exchange rate around the earthquake is one of the main reasons for the drastic fluctuation of international crude oil price in that period. There is a long-term interactive relationship between yen exchange rate and international crude oil price. The upward trend of international crude oil price after the earthquake was obvious, while yen exchange rate remained relatively stable after the earthquake.
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