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On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation

Conrad, Christian; Loch, Karin; Rittler, Daniel - 2012

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors for changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for a counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

Persistent link: https://www.econbiz.de/10011422237

Crude oil prices and the euro-dollar exchange rate: A forecasting exercise

Crespo Cuaresma, Jesus; Breitenfellner, Andreas - 2008

If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...

Persistent link: https://www.econbiz.de/10010293389

Global commodity cycles and linkages a FAVAR approach

Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10011605216

Does the Iranian oil supply matter for the oil prices?

Farzanegan, Mohammad Reza - 2012

There is an increasing tension between the Iranian Government and the west on an increasingly likely European oil embargo and the Iranian threat to close the Strait of Hormuz. The main question is: What will happen to the international oil prices in the case of shocks in the flow of Iranian oil...

Persistent link: https://www.econbiz.de/10010294407

Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses

Awartani, Basel; Javed, Farrukh; Maghyereh, Aktham I.; … - In: Review of Development Finance 8 (2018) 2, pp. 116-126

In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association … oil to MENA equities is found to be weak. The dynamic conditional correlation between oil and equities is not always … occasionally breaks from the longer-term correlation particularly in Egypt and Turkey. These patterns of influence and associations …

Persistent link: https://www.econbiz.de/10015331412

Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates

Kühl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...

Persistent link: https://www.econbiz.de/10010302725

Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate

Schulmeister, Stephan - 2007

The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen/dollar exchange rate. The paper shows first that these models would have exploited exchange rate trends quite profitably between 1976 and 1999, and then...

Persistent link: https://www.econbiz.de/10011435219

Profitability of Technical Currency Speculation. The Case of Yen-Dollar Trading 1976-2007

Schulmeister, Stephan - 2008

The paper investigates the profitability of 1,024 moving average and momentum models and their components in the yen-dollar market. It turns out that all models would have been profitable between 1976 and 2007. The models produce more single losses than single profits. At the same time, the size...

Persistent link: https://www.econbiz.de/10011435249

Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007

Schulmeister, Stephan - 2008

The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...

Persistent link: https://www.econbiz.de/10011435250

International capital flow pressures

Goldberg, Linda S.; Krogstrup, Signe - 2018

This paper presents a new measure of capital flow pressures in the form of a recast exchange market pressure index. The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments. The formulation is...

Persistent link: https://www.econbiz.de/10011942779