TY  - GEN 
A1  - Gomez-Gonzalez, Jose Eduardo
A1  - Hirs-Garzon, Jorge
A1  - Uribe-Gil, Jorge Mario
DA  - 2017/10/10
PY  - 2017
UR  - https://repositorio.banrep.gov.co/handle/20.500.12134/6338
AB  - We 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...
U1  - 20 paginas : graficas, tablas
LA  - eng
PB  - Banco de la Republica de Colombia
T3  - Borradores de Economia
JF  - Borradores de Economia; No. 1025
M3  - Open Access
KW  - Causalidad variable en el tiempo
KW  - Precios del petroleo
KW  - Rendimiento del mercado de valores
KW  - Economia de mercados emergentes
T1  - Dynamic connectedness and causality between oil prices and exchange rates
KW  - C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
KW  - G01 - Financial Crises
KW  - G12 - Asset Pricing; Trading Volume; Bond Interest Rates
KW  - Time-varying causality
KW  - Oil price
KW  - Stock market returns
KW  - Emerging market economies
KW  - Bolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014
KW  - Petroleo -- Precios -- 2010-2014
KW  - Tipos de cambio -- Estudios comparados -- 2010-2014
KW  - Tasas de cambio -- Estudios comparados -- 2010-2014
KW  - Bolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014
KW  - Causalidad de Granger
KW  - C22 - Modelos de series temporales; Regresiones cuantiles dinamicas; Modelos dinamicos de tratamiento; procesos de difusion
KW  - G12 - Valoracion de activos financieros; Volumen de comercio; Tasas de interes de bonos
KW  - G01 - Crisis financiera
DO  - https://doi.org/10.32468/be.1025
L1  - https://ideas.repec.org/p/bdr/borrec/1025.html
ER  -