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Title:Macro wine in financial skins: the Oil-FX interdependence PDF Logo
Authors:Weber, Enzo
Issue Date:2008
Series/Report no.:SFB 649 discussion paper 2008,048
Abstract:This 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 takes a financial markets perspective using daily data. The fast-running simultaneousimpacts 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 itsvolatility. Reversely, dollar appreciation asymmetrically increases the oil price.
Subjects:Crude oil price
foreign exchange
identification
JEL:C32
F31
Q43
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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