The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach
| العنوان: | The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach |
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| المؤلفون: | Brémond, Vincent, Hache, Emmanuel, Razafindrabe, Tovonony |
| المساهمون: | EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), IFP Energies nouvelles (IFPEN), Centre de recherche en économie et management (CREM), Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Normandie Université (NU)-Université de Rennes (UR)-Centre National de la Recherche Scientifique (CNRS), Centre National de la Recherche Scientifique (CNRS)-Université de Rennes 1 (UR1), Université de Rennes (UNIV-RENNES)-Université de Rennes (UNIV-RENNES)-Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Normandie Université (NU), Normandie Université (NU)-Normandie Université (NU)-Université de Rennes 1 (UR1), Université de Rennes (UNIV-RENNES)-Université de Rennes (UNIV-RENNES)-Centre National de la Recherche Scientifique (CNRS) |
| المصدر: | The European Journal of Comparative Economics The European Journal of Comparative Economics, 2016, 13 (1), pp.97-131 The European Journal of Comparative Economics, European Association for Comparative Economic Studies and Universita Carlo Cattaneo, 2016, 13 (1), pp.97-131 The European Journal of Comparative Economics, Vol 13, Iss 1, Pp 97-131 (2016) |
| بيانات النشر: | HAL CCSD, 2016. |
| سنة النشر: | 2016 |
| مصطلحات موضوعية: | JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q4 - Energy/Q.Q4.Q43 - Energy and the Macroeconomy, lcsh:HB71-74, TVP-VAR, JEL: F - International Economics/F.F3 - International Finance/F.F3.F31 - Foreign Exchange, lcsh:Economics as a science, Oil price, exchange rate, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, JEL: C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models |
| الوصف: | International audience; The aim of this paper is to study the relationship between the effective exchange rate of the dollar and the oil price dynamics from 1976 to 2013. We explore the links between financial factors (exchange rate, monetary policy, international liquidity) and the oil price volatility. Using a Bayesian time-varying parameter vector auto-regressive estimation we demonstrate that the “historical coincidence” of oil and financial crises can be explained by the specificities of the relationship between these two commodities. The results of this paper are twofold. The US Dollar effective exchange rate elasticity of crude oil prices is not constant across time and remains negative from 1989: a depreciation of the effective exchange rate of the dollar triggers an increase of crude oil prices. This paper also demonstrates the contagion of financial commodities markets development upon the global economy. The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach (PDF Download Available). Available from: https://www.researchgate.net/publication/305501192_The_Oil_Price_and_Exchange_Rate_Relationship_Revisited_A_time-varying_VAR_parameter_approach [accessed Jan 14 2018]. |
| اللغة: | English |
| تدمد: | 1824-2979 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a13c5cf7cf1a30d2121d9c031c26de42 https://shs.hal.science/halshs-01683809 |
| حقوق: | OPEN |
| رقم الأكسشن: | edsair.dedup.wf.001..a13c5cf7cf1a30d2121d9c031c26de42 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 18242979 |
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