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Fossil fuel prices, exchange rate, and stock market: A dynamic causality analysis on the European market

  • Śmiech, Sławomir
  • Papież, Monika

The article investigates causality between fossil fuel prices, exchange rates and the German Stock Index (DAX). The analysis is conducted dynamically with the use of rolling VAR methodology on the basis of weekly data from the period October 2001–June 2012. The results obtained show that the relationship between the variables changed over time depending on the level of volatility in financial markets.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 118 (2013)
Issue (Month): 1 ()
Pages: 199-202

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Handle: RePEc:eee:ecolet:v:118:y:2013:i:1:p:199-202
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers 5131, C.E.P.R. Discussion Papers.
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  11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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  17. Mylonidis, Nikolaos & Kollias, Christos, 2010. "Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2056-2064, September.
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