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  1. Oil prices, exchange rates and asset prices
    Autor*in: Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine
    Erschienen: 2013
    Verlag:  CESifo, München

    This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (4264)
    Fernleihe:
    keine Fernleihe

     

    This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes in equity market returns and risk. By contrast, oil prices did not react to changes in these financial assets before 2001. The paper provides evidence that this may be explained by the increased use of oil as a financial asset over the past decade, which intensified the link between oil and other assets. The model can account well for the strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the financialisation process of oil prices explaining most of the strengthening of this correlation.

     
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/77703
    RVK Klassifikation: QB 910
    Schriftenreihe: Array ; 4264
    Umfang: Online-Ressource (25 S. + 14 S.), graph. Darst.
  2. Oil prices, exchange rates and asset prices
    Autor*in: Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine
    Erschienen: 2014
    Verlag:  European Central Bank, Frankfurt am Main

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534 (1689)
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/154122
    QB-AR-14-063-EN-N
    Schriftenreihe: Working paper series / European Central Bank ; 1689
    Schlagworte: Ölpreis; US-Dollar; Wechselkurs; Korrelation
    Umfang: Online-Ressource (45 S.), graph. Darst.
  3. Oil prices, exchange rates and asset prices
    Autor*in: Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine
    Erschienen: 2013
    Verlag:  DIW, Berlin

    This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1302)
    Fernleihe:
    keine Fernleihe

     

    This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes in equity market returns and risk. By contrast, oil prices did not react to changes in these financial assets before 2001. The paper provides evidence that this may be explained by the increased use of oil as a financial asset over the past decade, which intensified the link between oil and other assets. The model can account well for the strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the financialisation process of oil prices explaining most of the strengthening of this correlation. -- Oil prices ; asset prices ; exchange rates ; US dollar ; identification ; time-varying correlation

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/74495
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1302
    Schlagworte: Ölpreis; US-Dollar; Wechselkurs; Korrelation
    Umfang: Online-Ressource (39 S.), graph. Darst.