Oil prices are driven by a supply shock rather than increased demand due to a stronger world economy, so investors in currencies look to "risk" rather than "macro" factors, David Bloom, global head of foreign exchange research at HSBC, wrote in a market note.
The currencies that Bloom favors are the yen, the Swiss franc, the US dollar and the Norwegian krone.
"If the oil price were to move swiftly higher from current levels because of a supply shock, this would trigger a risk-off move," he wrote. "The market would become more concerned about demand destruction and the more liquid or 'risk-off' currencies should benefit."
This is why the "risk-off" currencies such as the yen , Swiss franc and dollar have benefitted, rather than the "petro-currencies" such as the Mexican peso Bloom explained.
Events in 2008, when oil prices approached $150 per barrel, showed that substantial changes in oil prices can seriously affect the world economy, he also wrote.
"Regular as clockwork, increases in oil prices of more than 100 percent lead to declining GDP," according to Bloom.
"Fortunately, we're not quite there this time around," he added, but "there are enough warning signs around for investors to feel a touch edgy."
The Norwegian krone and the Canadian dollar are likely to benefit from increases in oil prices coupled with the Middle East tensions, as these countries are oil exporters but without the risks associated with an emerging market like Mexico, Bloom wrote.
The pound may go through "a substantive retracement lower" against the dollar in the next few months as the Bank of England is unlikely to raise rates because of low wage pressure and weak growth, he also said.
The Australian dollar is vulnerable to the risk trade despite the country's fundamentally strong outlook, while the New Zealand dollar has been under pressure since the central bank cut the rate by 50 points to deal with the effects of an earthquake that happened in February.