Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and … asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a … bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are …