In this paper, we investigate the effects of oil price shocks on the production, price level, and exchange rate of eight important industrialized countries, using a two-step approach based on a structural VAR model of the global crude oil market proposed by Kilian (see American Economic Review,...

We employ an asymmetric dynamic conditional correlation model to investigate the time-varying integration of the London Interbank Offered Rate (LIBOR) rates for three major European currencies -the euro (EUR), Swiss franc (CHF), and British pound (GBP). We assess the impacts of the global...

This paper investigates the long-run relationship between gold and three main financial variables based on daily data from January 1990 to May 2013. By using the Gregory¨CHansen cointegration test, we show that there exists a cointegrating relation with regime shift between gold and the three...