Please use this identifier to cite or link to this item: http://arl.liuc.it/dspace/handle/2468/5889
Title: The oil price and exchange rate relationship revisited: A time-varying VAR parameter approach
Authors: Brémond, Vincent
Hache, Emmanuel
Razafindrabe, Tovonony
Issue Date: 2016
Publisher: European Association for Comparative Economic Studies (EACES)
Università Carlo Cattaneo - LIUC
Bibliographic citation: Brémond Vincent, Hache Emmanuel, Razafindrabe Tovonony (2016), The oil price and exchange rate relationship revisited: A time-varying VAR parameter approach. In: The European Journal of Comparative Economics, vol. 1, n. 1, 2004, p. 5-6. E-ISSN 1824-2979.
Abstract: 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.
URI: http://arl.liuc.it/dspace/handle/2468/5889
Journal/Book: The European journal of comparative economics
Appears in Collections:EJCE

Files in This Item:
File Description SizeFormat 
EJCE_2016-13-01_097.pdf
  Restricted Access
877,86 kBAdobe PDFView/Open Request a copy


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.