Resource title

Macro wine in financial skins: the Oil-FX interdependence

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image for OpenScout resource :: Macro wine in financial skins: the Oil-FX interdependence

Resource description

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.

Resource author

Enzo Weber

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25288

Resource license

Adapt according to the presented license agreement and reference the original author.