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Why is the correlation between crude oil prices and the US Dollar exchange rate time-varying? : explanations based on the role of key mediators
Liao, Jia; Shi, Yu; Xu, Xiangyun - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-13
Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ‘very weak correlation-negative correlation-enhanced negative correlation-weakening negative correlation’, but the existing...
Persistent link: https://www.econbiz.de/10011884180
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What are the causes of high crude oil price? : causality investigation
Obadi, Saleh Mothana; Othmanová, Soňa; Abdová, Mariam - In: International Journal of Energy Economics and Policy : IJEEP 3 (2013) 5, pp. 80-92
Persistent link: https://www.econbiz.de/10010233794
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How responsive are retail electricity prices to crude oil fluctuations in the US? : time-varying and asymmetric perspectives
Luo, Keyu; Ye, Yong - In: Research in international business and finance 69 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015052403
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The relationship between crude oil prices, EUR/USD exchange rate and gold prices
Houcine, Benlaria; Zouheyr, Gheraia; Abdessalam, Belbali; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 5, pp. 234-242
Persistent link: https://www.econbiz.de/10012506005
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The Relationship between Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates : A Panel VAR Approach and Causality Analysis
Rezitis, Anthony N. - 2014
This study examines the relationship between crude oil prices, US dollar exchange rates and thirty selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of...
Persistent link: https://www.econbiz.de/10013040187
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Econometric analysis of the effect of energy prices on exchange rates during war period
Aslanova, Afaq; Mammadova, Simuzar - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 496-502
Persistent link: https://www.econbiz.de/10014373532
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Oil, gold, US dollar and stock market interdependencies : a global analytical insight
Arfaoui, Mongi; Ben Rejeb, Aymen - In: European journal of management and business economics : … 26 (2017) 3, pp. 278-293
Persistent link: https://www.econbiz.de/10011823435
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Capturing the short-run and long-run causal behavior of Philippine stock market volatility under vector error correction environment
Camba, Abraham C. <Jr> - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 8, pp. 41-49
Persistent link: https://www.econbiz.de/10012670602
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Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024
We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using...
Persistent link: https://www.econbiz.de/10014505308
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Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis
Vo, Minh - 2011
volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …
Persistent link: https://www.econbiz.de/10013131145