Macro Wine in Financial Skins: The Oil-FX Interdependence
AbstractThis paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature, the present approach takes a financial markets perspective using daily data. The fast-running simultaneous impacts are identified through heteroscedasticity by specifying multivariate EGARCH processes for the structural variances. While for the decade after 1986 no significance is found, thereafter oil price changes cause inverse reactions of the dollar price and affect its volatility. Reversely, dollar appreciation asymmetrically increases the oil price.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2008-048.
Length: 12 pages
Date of creation: Jul 2008
Date of revision:
Crude Oil Price; Foreign Exchange; Identification;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-20 (All new papers)
- NEP-ENE-2008-07-20 (Energy Economics)
- NEP-IFN-2008-07-20 (International Finance)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013.
"Oil Prices, Exchange Rates and Asset Prices,"
Discussion Papers of DIW Berlin
1302, DIW Berlin, German Institute for Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team).
If references are entirely missing, you can add them using this form.