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My bibliography Save this itemExchange rates and commodity prices: Measuring causality at multiple horizons
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Cited by:
- Jena, Sangram Keshari & Tiwari, Aviral Kumar & Roubaud, David & Shahbaz, Muhammad, 2018.
"Index futures volatility and trading activity: Measuring causality at a multiple horizon,"
Finance Research Letters, Elsevier, vol. 24(C), pages 247-255.
- Sangram Keshari Jena & Aviral Kumar Tiwari & David Roubaud & Muhammad Shahbaz, 2018. "Index futures volatility and trading activity: Measuring causality at a multiple horizon," Post-Print hal-02061357, HAL.
- Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Bachmeier, Lance, 2019. "Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches," Energy Economics, Elsevier, vol. 81(C), pages 1011-1028.
- Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan, 2017. "Dynamic spillover between commodities and commodity currencies during United States Q.E," Energy Economics, Elsevier, vol. 66(C), pages 399-410.
- Olga Dodd & Adrian Fernández-Pérez & Simon Sosvilla-Rivero, 2024.
"Currency and commodity return relationship under extreme geopolitical risks: evidence from the invasion of Ukraine,"
Applied Economics Letters, Taylor & Francis Journals, vol. 31(1), pages 46-55, January.
- Olga Dodd & Adrian Fernandez-Perez & Simon Sosvilla-Rivero, 2022. ""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"," IREA Working Papers 202204, University of Barcelona, Research Institute of Applied Economics, revised Apr 2022.
- Su, Chi-Wei & Wang, Kai-Hua & Chang, Hsu-Ling & Dumitrescu–Peculea, Adelina, 2017. "Do iron ore price bubbles occur?," Resources Policy, Elsevier, vol. 53(C), pages 340-346.
- Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023.
"Commodity price uncertainty as a leading indicator of economic activity,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
- Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
- Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
- Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019.
"Volatility risk premia and future commodity returns,"
Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
- José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
- Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Werner Kristjanpoller R. & Alejandro Sierra C., 2014. "Relationship between the dollar, the price of copper and the IPSA indifferent time scales: An approach through Wavelet," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(3), pages 56-85, December.
- Olivier Rousse & Benoît Sévi, 2016.
"Informed Trading in Oil-Futures Market,"
Working Papers
hal-01410093, HAL.
- Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
- Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
- Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
- Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
- Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
- Ye, Wuyi & Guo, Ranran & Jiang, Ying & Liu, Xiaoquan & Deschamps, Bruno, 2019. "Professional macroeconomic forecasts and Chinese commodity futures prices," Finance Research Letters, Elsevier, vol. 28(C), pages 130-136.
- Go, You-How & Lau, Wee-Yeap, 2021. "Extreme risk spillovers between crude palm oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Feng, Wenjun & Zhang, Zhengjun, 2023. "Currency exchange rate predictability: The new power of Bitcoin prices," Journal of International Money and Finance, Elsevier, vol. 132(C).
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020.
"Climate risk and commodity currencies,"
Working Paper
2020/18, Norges Bank.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," Working Papers No 10/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," CESifo Working Paper Series 8788, CESifo.
- Yıldırım, Durmuş Çağrı & Erdoğan, Fatma & Tarı, Elif Nur, 2022. "Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies," Resources Policy, Elsevier, vol. 76(C).
- Akram, Q. Farooq, 2020.
"Oil price drivers, geopolitical uncertainty and oil exporters' currencies,"
Energy Economics, Elsevier, vol. 89(C).
- Akram, Q. Farooq, 2019. "Oil price drivers, geopolitical uncertainty and oil exporters’ currencies," Working Paper 2019/15, Norges Bank.
- Rebeca Jiménez‐Rodríguez & Amalia Morales‐Zumaquero, 2020. "Impact of commodity prices on exchange rates in commodity‐exporting countries," The World Economy, Wiley Blackwell, vol. 43(7), pages 1868-1906, July.
- Hong Cheng & Yunqing Wang & Yihong Wang & Tinggan Yang, 2022. "Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 719-748, February.
- Lv, Xin & Lien, Donald & Chen, Qian & Yu, Chang, 2018. "Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries," Energy Economics, Elsevier, vol. 76(C), pages 325-343.
- Zulfiqar Ali Imran & Muhammad Ahad, 2022. "Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 167-189, February.
- Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
- Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016.
"Exchange rates and commodity prices: Measuring causality at multiple horizons,"
Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
- Hui Jun Zhang & Jean-Marie Dufour & John W. Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
- Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Belasen, Ariel R. & Demirer, Rıza, 2019. "Commodity-currencies or currency-commodities: Evidence from causality tests," Resources Policy, Elsevier, vol. 60(C), pages 162-168.
- Carl-Henrik Dahlqvist, 2018. "Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-22, August.
- Wen, Shaobo & An, Haizhong & Chen, Zhihua & Liu, Xueyong, 2017. "Driving factors of interactions between the exchange rate market and the commodity market: A wavelet-based complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 299-308.
- Xiangyu Chen & Jittima Tongurai, 2021. "The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 527-561, December.
- Charles Olivier Mao Takongmo & Laetitia Lebihan, 2021.
"Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 139-160, March.
- Charles Olivier Mao Takongmo & Laetitia Lebihan, 2021. "Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons," Post-Print hal-04288372, HAL.
- Lu, Xinsheng & Li, Jianfeng & Zhou, Ying & Qian, Yubo, 2017. "Cross-correlations between RMB exchange rate and international commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 168-182.
- Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab, 2023. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Papers 2303.16149, arXiv.org.
- Charles Olivier Mao Takongmo & Laetitia Lebihan, 2021.
"Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 139-160, March.
- MAO TAKONGMO, Charles Olivier, 2016. "Government spending, GDP and exchange rate in Zero Lower Bound: measuring causality at multiple horizons," MPRA Paper 79703, University Library of Munich, Germany, revised 02 Jun 2017.
- Grossmann, Axel & Kim, Jintae, 2022. "The impact of U.S. dollar movements and U.S. dollar states on non-perishable commodity prices," Research in International Business and Finance, Elsevier, vol. 61(C).
- Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh, 2021. "Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets," Resources Policy, Elsevier, vol. 74(C).
- Zhang, Dayong & Broadstock, David C., 2020. "Global financial crisis and rising connectedness in the international commodity markets," International Review of Financial Analysis, Elsevier, vol. 68(C).
- Sokhanvar, Amin & Çiftçioğlu, Serhan & Lee, Chien-Chiang, 2023. "The effect of energy price shocks on commodity currencies during the war in Ukraine," Resources Policy, Elsevier, vol. 82(C).
- Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
- Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Al-Yahyaee, Khamis Hamed & Shahbaz, Muhammad, 2017. "Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas," Energy Economics, Elsevier, vol. 67(C), pages 476-495.
- Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2021. "The realized volatility of commodity futures: Interconnectedness and determinants#," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 139-151.
- Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne, 2018.
"Testing for misspecification in the short-run component of GARCH-type models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-17, December.
- Thomas Chuffart & Emmanuel Flachaire & Anne Péguin-Feissolle, 2017. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-03157205, HAL.
- Thomas Chuffart & Emmanuel Flachaire & Anne Peguin-Feissolle, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-02083772, HAL.
- Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
- Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
- Kassouri, Yacouba & Altıntaş, Halil, 2020. "Commodity terms of trade shocks and real effective exchange rate dynamics in Africa's commodity-exporting countries," Resources Policy, Elsevier, vol. 68(C).
- Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
- Wang, Wenhao & Cheung, Yin-Wong, 2023.
"Commodity price effects on currencies,"
Journal of International Money and Finance, Elsevier, vol. 130(C).
- Yin-Wong Cheung & Wenhao Wang, 2022. "Commodity Price Effects on Currencies," CESifo Working Paper Series 9967, CESifo.
- Liu, Li & Tan, Siming & Wang, Yudong, 2020. "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, vol. 87(C).
- Michele Patanè & Mattia Tedesco & Stefano Zedda, 2017. "Dynamic Relationship of Commodities prices and EUR/USD exchange rate trends in the recent past," Department of Economics University of Siena 759, Department of Economics, University of Siena.
- Chen, Pei-Fen & Zeng, Jhih-Hong & Lee, Chien-Chiang, 2018. "Renminbi exchange rate assessment and competitors' exports: New perspective," China Economic Review, Elsevier, vol. 50(C), pages 187-205.
- Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.
- José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.
- Jung, Young Cheol & Das, Anupam & McFarlane, Adian, 2020. "The asymmetric relationship between the oil price and the US-Canada exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 198-206.
- Benjamin Mudiangombe Mudiangombe & John Weirstrass Muteba Mwamba, 2023. "Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis," JRFM, MDPI, vol. 16(7), pages 1-29, July.
- Kamaruddin Kamaruddin & Yusri Hazmi & Raja Masbar & Sofyan Syahnur & M. Shabri Abd. Majid, 2021. "Asymmetric Impact of World Oil Prices on Marketing Margins: Application of NARDL Model for the Indonesian Coffee," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 212-220.
- Chul-Yong Lee & Sung-Yoon Huh, 2017. "Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors," Sustainability, MDPI, vol. 9(2), pages 1-15, January.
- Bork, Lasse & Kaltwasser, Pablo Rovira & Sercu, Piet, 2022. "Aggregation bias in tests of the commodity currency hypothesis," Journal of Banking & Finance, Elsevier, vol. 135(C).
- Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
- Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Trabelsi, Nader & Wohar, Mark, 2024. "Do shipping freight markets impact commodity markets?," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 986-1014.
- Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
- Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
- Evrim Mandaci, Pınar & Azimli, Asil & Mandaci, Nazif, 2023. "The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach," Resources Policy, Elsevier, vol. 85(PA).
- Laurent Ferrara & Aikaterina Karadimitropoulou & Athanasios Triantafyllou & Theodora Bermpei, 2022.
"Commodity currencies revisited: The role of global commodity price uncertainty,"
EconomiX Working Papers
2022-24, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Aikaterina Karadimitropoulou & Athanasios Triantafyllou & Theodora Bermpei, 2022. "Commodity currencies revisited: The role of global commodity price uncertainty," Working Papers hal-04159791, HAL.
- Yépez, Carlos & Dzikpe, Francis, 2022. "Accounting for real exchange rates in emerging economies: The role of commodity prices," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 476-492.
- Qureshi, Saba & Rehman, Ijaz Ur & Qureshi, Fiza, 2018. "Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 685-708.