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dc.contributor.authorWeber, Enzoen
dc.date.accessioned2008-07-14-
dc.date.accessioned2009-07-23T15:03:59Z-
dc.date.available2009-07-23T15:03:59Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,048en
dc.subject.jelC32en
dc.subject.jelF31en
dc.subject.jelQ43en
dc.subject.ddc330en
dc.subject.keywordCrude oil priceen
dc.subject.keywordforeign exchangeen
dc.subject.keywordidentificationen
dc.subject.stwErdölpreisen
dc.subject.stwWechselkursen
dc.subject.stwUS-Dollaren
dc.subject.stwEuroen
dc.subject.stwFinanzmarkten
dc.subject.stwARCH-Modellen
dc.subject.stwSchätzungen
dc.subject.stwWelten
dc.titleMacro wine in financial skins: the Oil-FX interdependence-
dc.type|aWorking Paperen
dc.identifier.ppn571758959en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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