Oil Prices, Exchange Rates and Interest Ratesexchange rateinterest rateoil priceglobal real activitycommoditycarry tradeThere has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the...
This article unveils the dependence structure between crude oil prices, exchange rates, and the United States interest rates. We begin by using asymmetric GARCH models to examine the marginal behavior of the returns, and then various copulas are used to understand extreme market co-movements. We ...
In their contribution, the authors claim that the exchange rates and oil prices are interconnected over the long-run. Taking as a starting point what was found in [21], this paper aims at investigating the long-run correlation among the exchange rates of the largest oil-exporting and oil-...
While views are mixed, the reality is that oil prices and interest rates have some correlation between their movements. However, they are not tightly correlated. In truth, many factors affect the direction of both interest rates and oil prices. Sometimes those factors are related, sometimes they...
The empirical results of this study support the hypothesis that in the long run the euro-dollar and Polish zloty-euro exchange rates are driven by crude oil prices, and that the parities of the real risk-free interest rates determine the euro-dollar exchange rate in the short-run and the ...
exchange rate. According to the study, a rise in oil prices leads to a depreciation of Bangladesh's taka vis-à-vis the US dollar. The study also shows that oil price shocks have a long-lasting impact on exchange rate volatility, and the shocks to exchange rate volatility have an ...
Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States Employing the diagonal BEKK model as well as the dynamic impulse response functions, this study investigates the time-varying trilateral relationships amon... S Bai,KS Koong - 《North American ...
Crude Oil Prices: Trends and Forecast Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price proces... N Krichene - 《Social Science Electronic Publishing》 被引量: 34发表: 2008年 An empirical study...
The real oil price data is also disaggregated into positive and negative components to establish whether this would improve upon the forecasting performance of the model. The full dataset includes quarterly measures of output, consumer prices, exchange rates, interest rates and oil prices, where the...
Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in ......