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dc.contributor.authorWeber, Enzoen_US
dc.date.accessioned2008-07-14en_US
dc.date.accessioned2009-07-23T15:03:59Z-
dc.date.available2009-07-23T15:03:59Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25288-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,048en_US
dc.subject.jelC32en_US
dc.subject.jelF31en_US
dc.subject.jelQ43en_US
dc.subject.ddc330en_US
dc.subject.keywordCrude oil priceen_US
dc.subject.keywordforeign exchangeen_US
dc.subject.keywordidentificationen_US
dc.subject.stwErdölpreisen_US
dc.subject.stwWechselkursen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwEuroen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwWelten_US
dc.titleMacro wine in financial skins: the Oil-FX interdependenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn571758959en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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