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Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - In: Energy Economics 40 (2013) C, pp. 665-678

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010868790

Oil and gold price dynamics in a multivariate cointegration framework

Beckmann, Joscha; Czudaj, Robert - In: International Economics and Economic Policy 10 (2013) 3, pp. 453-468

This study delivers further insights into oil and gold price dynamics and their relation to U.S. prices and the dollar exchange rate. Previous studies have frequently analyzed this issue regarding the price either of gold or of oil; however, the role of both quantities has not been analyzed...

Persistent link: https://www.econbiz.de/10010865000

Oil prices and effective dollar exchange rates

Beckmann, Joscha; Czudaj, Robert - In: International Review of Economics & Finance 27 (2013) C, pp. 621-636

This study takes into account two previously neglected issues in its analysis of the relationship between oil prices and effective dollar exchange rates, namely, nonlinear adjustment dynamics and a distinction between nominal and real linkages. Beginning with a careful investigation of different...

Persistent link: https://www.econbiz.de/10010664312

Regime shifts and the Canada/US exchange rate in a multivariate framework

Beckmann, Joscha; Czudaj, Robert - In: Economics Letters 123 (2014) 2, pp. 206-211

This study re-evaluates the monetary approach for the Canada/U.S. exchange rate and shows that its basic structure can be verified although the coefficients are not consistently in line with theory. Our findings also indicate that exchange rate adjustment is subject to regime shifts.

Persistent link: https://www.econbiz.de/10010906366

Gold as an inflation hedge in a time-varying coefficient framework

Beckmann, Joscha; Czudaj, Robert - 2012

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective …: First, we show that gold is partially able to hedge future inflation in the long-run and this ability is stronger for the … characterized by regime-dependence, implying that the usefulness of gold as an inflation hedge for investors crucially depends on …

Persistent link: https://www.econbiz.de/10009580064

Cross-section dependence and the monetary exchange rate model – A panel analysis

Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - In: The North American Journal of Economics and Finance 23 (2012) 1, pp. 38-53

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...

Persistent link: https://www.econbiz.de/10010886092

Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices

Beckmann, Joscha - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 176-190

Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. This paper as a first step applies a...

Persistent link: https://www.econbiz.de/10010617253

Gold as an inflation hedge in a time-varying coefficient framework

Beckmann, Joscha; Czudaj, Robert - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 208-222

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective …: first, we show that gold is partially able to hedge future inflation in the long-run and this ability is stronger for the … characterized by regime-dependence, implying that the usefulness of gold as an inflation hedge for investors crucially depends on …

Persistent link: https://www.econbiz.de/10010617247

Causality and volatility patterns between gold prices and exchange rates

Beckmann, Joscha; Czudaj, Robert; Pilbeam, Keith - In: The North American journal of economics and finance : a … 34 (2015), pp. 292-300

Persistent link: https://www.econbiz.de/10011540003

Measurement and effects of euro/dollar exchange rate uncertainty

Beckmann, Joscha - In: Journal of economic behavior & organization : JEBO 183 (2021), pp. 773-790

Persistent link: https://www.econbiz.de/10012599979