A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates
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DOI: 10.1016/j.iref.2015.02.005
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Keywords
Markov-switching VEC model; Oil prices; Precious metal prices; Regime-dependent impulse response function; Information transmission;All these keywords.
JEL classification:
- Q30 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - General
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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