Dynamic connectedness and causality between oil prices and exchange rates

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardospa
dc.creatorHirs-Garzón, Jorgespa
dc.creatorUribe-Gil, Jorge Mariospa
dc.date.accessioned2017-10-30T08:30:10Zeng
dc.date.available2017-10-30T08:30:10Zspa
dc.date.created2017-10-30spa
dc.date.issued2017-10-30eng
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.eng
dc.format.extent20 páginas : gráficas, tablasspa
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6338spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6338spa
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.1025spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 1025eng
dc.relation.numberBorrador 1025spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1025.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
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.eng
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.eng
dc.source.bibliographicCitationAkram, Q.F., 2009. Commodity prices, interest rates and the dollar. Energy Eco- nomics 31, 838 851.eng
dc.source.handleRepecRePEc:bdr:borrec:1025spa
dc.subjectCausalidad variable en el tiempospa
dc.subjectPrecios del petróleospa
dc.subjectRendimiento del mercado de valoresspa
dc.subjectEconomía de mercados emergentesspa
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processeseng
dc.subject.jelG01 - Financial Criseseng
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusiónspa
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonosspa
dc.subject.jelspaG01 - Crisis financieraspa
dc.subject.keywordTime-varying causalityeng
dc.subject.keywordOil priceeng
dc.subject.keywordStock market returnseng
dc.subject.keywordEmerging market economieseng
dc.subject.lembBolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014spa
dc.subject.lembPetróleo -- Precios -- 2010-2014spa
dc.subject.lembTipos de cambio -- Estudios comparados -- 2010-2014spa
dc.subject.lembTasas de cambio -- Estudios comparados -- 2010-2014spa
dc.subject.lembBolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014spa
dc.subject.lembCausalidad de Grangerspa
dc.titleDynamic connectedness and causality between oil prices and exchange rateseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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