Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195736 
Year of Publication: 
2018
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 6 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of 'very weak correlation-negative correlation-enhanced negative correlation-weakening negative correlation', but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a 'key mediating factors' hypothesis which points out that whether there is a common 'key mediating factor' is important source of the time-varying relationship between two assets. We argue that market trend and financial market sentiment undertook the role of 'key mediating factor' during the period of the 2002 to the financial crisis and financial crisis to 2013, while other periods lack the 'key mediating factors'.
Subjects: 
crude oil price
dollar index
time-varying
key mediating factor
JEL: 
C52
G17
Q43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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