The below plot is a bi-density chart of the USDCAD spot rate versus the WTI spot price. The contour lines delimit the empirical joint distribution. The yellow line is the best fit derived from a quantile regression (akin to the historical fair value). The dotted red lines delimit the quantiles for the oil price. This aims to answer the question: Is the Canadian dollar more sensitive to the price of oil when the barrel trades below/above a given price ? Clearly the chart shows that low oil price are bad for the Canadian dollar and vice versae. The crosshair shows the current level of oil versus USDCAD….
