|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25288
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Weber, Enzo | | en_US |
| dc.date.accessioned | | 2008-07-14 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:03:59Z | | - |
| dc.date.available | | 2009-07-23T15:03:59Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25288 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2008,048 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | F31 | | en_US |
| dc.subject.jel | | Q43 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Crude oil price | | en_US |
| dc.subject.keyword | | foreign exchange | | en_US |
| dc.subject.keyword | | identification | | en_US |
| dc.subject.stw | | Erdölpreis | | en_US |
| dc.subject.stw | | Wechselkurs | | en_US |
| dc.subject.stw | | US-Dollar | | en_US |
| dc.subject.stw | | Euro | | en_US |
| dc.subject.stw | | Finanzmarkt | | en_US |
| dc.subject.stw | | ARCH-Modell | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.title | | Macro wine in financial skins: the Oil-FX interdependence | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 571758959 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|