文章基本信息

标题：1689: Oil prices, exchange rates and asset prices
本地全文：下载
作者：Marcel Fratzscher ; Daniel Schneider ; Ine Van Robays 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper takes a financial market perspective in examining the relationship between oil prices, theUS dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in amultifactor model. It finds a bidirectional causality between the US dollar and oil prices since theearly 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes inequity market returns and risk. By contrast, oil prices did not react to changes in these financialassets before 2001. The paper provides evidence that this may be explained by the increased use ofoil 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 theUS dollar since the early 2000s, with risk shocks and the financialisation process of oil pricesexplaining most of the strengthening of this correlation
关键词：oil prices; asset prices; exchange rates; US dollar; identification; time-varying correlation