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...

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,...

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...