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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

The U.S. Dollar Exchange Rate and the Demand for Oil

De Schryder, Selien - 2013

Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate leads to a significant decline in oil demand for a sample of 65 oil-importing countries. The estimated effect turns out to be much larger than the impact of a shift in the...

Persistent link: https://www.econbiz.de/10013086048

Volatility Transmission in Emerging European Foreign Exchange Markets

Bubak, Vit - 2013

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

Persistent link: https://www.econbiz.de/10013094673

Interaction of Carbon Reduction and Green Energy Promotion in a Small Fossil-Fuel Importing Economy

Pethig, Rudiger - 2013

We study the incidence of carbon-reduction and green-energy promotion policies in an open fossil-fuel importing general equilibrium economy. The focus is on mixed price-based or quantity-based policies. Instruments directed toward promoting green energy are shown to reduce also carbon emissions...

Persistent link: https://www.econbiz.de/10013095718

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial … production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

Persistent link: https://www.econbiz.de/10013065379

The Crisis in the Foreign Exchange Market

Melvin, Michael - 2013

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is …

Persistent link: https://www.econbiz.de/10013095774

International Energy R&D Spillovers and the Economics of Greenhouse Gas Atmospheric Stabilization

Bosetti, Valentina - 2014

regional model of the world economy, in which energy technical change is endogenous. The focus is on disembodied energy Ramp … different regions of the world? Does the speed of innovation increase? Or do free-riding incentives prevail and international …

Persistent link: https://www.econbiz.de/10012751854

Explosive Oil Prices

Gronwald, Marc - 2021

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10013315722

Cross-Country Differences in the Effects of Oil Shocks

Peersman, Gert - 2014

We compare the economic consequences of several types of oil shocks across a set of industrialized countries that are structurally very diverse with respect to the role of oil and other forms of energy in their economy. We find considerably different effects across countries, which crucially...

Persistent link: https://www.econbiz.de/10013068762

Investigating the U.S. Oil-Macroeconomy Nexus Using Rolling Impulse Responses

Gronwald, Marc - 2009

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

Persistent link: https://www.econbiz.de/10013158142