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Long-run equilibrium real exchange rates and oil prices
13 references·16 citing·38 second hop
Long-run equilibrium real exchange rates and oil prices (1998)Long-run equilibrium real exchange rates …Exchange Rates and Oil Prices (1998)Exchange Rates and Oil PricesReal Exchange Rate Levels, Productivity and Demand Shocks: Evidence from a Panel of 14 Countries (1996)Real Exchange Rate Levels, Pr…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…The Response of Real Exchange Rates to Various Economic Shocks (1995)The Response of Real Exchange…Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…Cointegration in partial systems and the efficiency of single-equation analysis (1992)Cointegration in partial syst…Critical Values for Cointegratio11 Tests* (1991)Critical Values for Cointegra…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Cointegration and Tests of Purchasing Power Parity (1988)Cointegration and Tests of Pu…Testing for the Effects of Oil-Price Rises using Vector Autoregressions (1984)Testing for the Effects of Oi…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)The relationship between oil …The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico (2018)The relationship between oil …The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis (2018)The effects of oil price shoc…Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model (2018)Risk dependence of CoVaR and …Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2017)Interaction between oil and U…Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia’s ruble (2016)Between the hammer and the an…Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India (2015)Nonlinear causality between c…Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014)Oil price fluctuation, volati…Oil Prices and Emerging Market Exchange Rates (2013)Oil Prices and Emerging Marke…Oil price and exchange rates: A wavelet based analysis for India (2013)Oil price and exchange rates:…Oil prices and effective dollar exchange rates (2012)Oil prices and effective doll…Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach (2012)Modeling nonlinear Granger ca…Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices (2012)Dynamic transmission effects …Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea (2011)Oil price volatility and stoc…Examining crude oil price – Exchange rate nexus for India during the period of extreme oil price volatility (2010)Examining crude oil price – E…Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries (2007)Are There Oil Currencies? The…Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)THE POWER OF COINTEGRATION TESTS (1992)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Chapter 32 Perspectives on PPP and long-run real exchange rates (1995)Purchasing power parity and unit root tests using panel data (1996)Purchasing Power Parity and the Real Exchange Rate (2002)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further evidence on breaking trend functions in macroeconomic variables (1997)Testing for Error Correction in Panel Data* (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Exploring the international linkages of the euro area: a global VAR analysis (2007)Oil prices and the rise and fall of the US real exchange rate (1998)Testing for unit roots in heterogeneous panels (2003)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Oil prices, economic activity and inflation: evidence for some Asian countries (2004)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Taking Time Seriously (2008)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)The behavior of real exchange rates during the post-Bretton Woods period (1998)The Long-Run Evolution of Energy Prices (1999)
this work references cited by second hop

References

  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
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  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
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Cited by

  • 2011Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea

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234 cited
  • 2010Examining crude oil price – Exchange rate nexus for India during the period of extreme oil price volatility230 cited
  • 2016Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia’s ruble222 cited
  • 2020The relationship between oil prices and exchange rates: Revisiting theory and evidence218 cited
  • 2012Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach212 cited
  • 2014Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness204 cited
  • 2017Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility197 cited
  • 2012Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices194 cited
  • 2013Oil price and exchange rates: A wavelet based analysis for India193 cited
  • 2018Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model177 cited
  • 2018The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico174 cited
  • 2013Oil Prices and Emerging Market Exchange Rates162 cited
  • 2012Oil prices and effective dollar exchange rates154 cited
  • 2015Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India149 cited
  • 2018The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis137 cited
  • 2007Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries133 cited