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Dynamic connectedness and causality between oil prices and exchange rates

dc.creatorGómez-González, José Eduardo
dc.creatorHirs-Garzón, Jorge
dc.creatorUribe-Gil, Jorge Mario
dc.date.created2017-10-30
dc.date.issued2017-10-30
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6338
dc.description.abstractWe study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets. Connectedness exhibits important time variation and presents a positive trend during our sample period. We find evidence of bidirectional causality between oil prices and exchange rates, which presents also considerable time-variation. Causality is identified for longer periods of time from oil prices to exchange rates. However, we also find evidence of reverse causality, mainly in the period after the Subprime Financial Crisis. Our results provide evidence supporting the hypothesis of the financialization of oil markets.
dc.format.extent20 páginas : gráficas, tablas
dc.format.mimetypePDF
dc.language.isoeng
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 1025
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.subjectCausalidad variable en el tiempo
dc.subjectPrecios del petróleo
dc.subjectRendimiento del mercado de valores
dc.subjectEconomía de mercados emergentes
dc.titleDynamic connectedness and causality between oil prices and exchange rates
dc.typeWorking Paper
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
dc.subject.jelG01 - Financial Crises
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rates
dc.audiencePolicymakers
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.subject.keywordTime-varying causality
dc.subject.keywordOil price
dc.subject.keywordStock market returns
dc.subject.keywordEmerging market economies
dc.subject.lembBolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014
dc.subject.lembPetróleo -- Precios -- 2010-2014
dc.subject.lembTipos de cambio -- Estudios comparados -- 2010-2014
dc.subject.lembTasas de cambio -- Estudios comparados -- 2010-2014
dc.subject.lembBolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014
dc.subject.lembCausalidad de Granger
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos
dc.subject.jelspaG01 - Crisis financiera
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.source.bibliographicCitationAloui, R., & Aïssa, M. S. B. (2016). Relationship between oil, stock prices and ex- change rates: A vine copula based GARCH method. The North American Journal of Economics and Finance, 37, 458-471.
dc.source.bibliographicCitationAloui, R., Hammoudeh, S., & Nguyen, D. K. (2013). A time-varying copula ap- proach to oil and stock market dependence: The case of transition economies. En- ergy Economics, 39, 208-221.
dc.source.bibliographicCitationAkram, Q.F., 2009. Commodity prices, interest rates and the dollar. Energy Eco- nomics 31, 838 851.
dc.relation.doihttps://doi.org/10.32468/be.1025
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1025.html
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6338
dc.source.handleRepecRePEc:bdr:borrec:1025


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