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

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  • Śmiech, Sławomir
  • Papież, Monika

Abstract

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.

Suggested Citation

  • Śmiech, Sławomir & Papież, Monika, 2013. "Fossil fuel prices, exchange rate, and stock market: A dynamic causality analysis on the European market," Economics Letters, Elsevier, vol. 118(1), pages 199-202.
  • Handle: RePEc:eee:ecolet:v:118:y:2013:i:1:p:199-202
    DOI: 10.1016/j.econlet.2012.10.010
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Papież, Monika, 2014. "A dynamic analysis of causality between prices of corn, crude oil and ethanol," MPRA Paper 56540, University Library of Munich, Germany.
    2. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
    3. Papież, Monika & Śmiech, Sławomir & Dąbrowski, Marek A., 2014. "The impact of the Euro area macroeconomy on energy and non-energy global commodity prices," MPRA Paper 56663, University Library of Munich, Germany.

    More about this item

    Keywords

    Exchange rate; Fossil fuel prices; Rolling regression; Stock market; Toda–Yamamoto procedure;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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