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Dynamic structural impacts of oil shocks on exchange rates: lessons to learn
16 references·1 citing·43 second hop
Dynamic structural impacts of oil shocks on exchange rates: lessons to learn (2020)Dynamic structural impacts of oil shocks …Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently ? A wavelet coherence analysis (2017)Does the crude oil price infl…The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis (2016)The effects of oil price shoc…Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016)Dynamic linkages among oil pr…The impact of oil shocks on exchange rates: A Markov-switching approach (2015)The impact of oil shocks on e…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)The economic value of co-move…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Modelling oil price and exchange rate co-movements (2011)Modelling oil price and excha…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Oil prices and real exchange rates (2006)Oil prices and real exchange …Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Bootstrapping autoregressions…Oil prices and the rise and fall of the US real exchange rate (1998)Oil prices and the rise and f…Long-run equilibrium real exchange rates and oil prices (1998)Long-run equilibrium real exc…Exchange Rates and Oil Prices (1998)Exchange Rates and Oil PricesOil Prices and Exchange Rates (1983)Oil Prices and Exchange RatesOil price and US dollar exchange rate: Change detection of bi-directional causal impact (2021)Oil price and US dollar excha…Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Dynamics of oil price, precious metal prices, and exchange rate (2009)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)The Current Account and Macroeconomic Adjustment in the 1970s (1981)Oil price fluctuations and U.S. dollar exchange rates (2009)The Impact of Oil Price Shocks on the Economic Growth of Selected MENA1 Countries (2010)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)An Introduction to Copulas (1999)Is gold a hedge or safe haven against oil price movements? (2013)Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico (2019)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Spillover effect of US dollar exchange rate on oil prices (2008)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017)Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak (2021)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Statistical inference in vector autoregressions with possibly integrated processes (1995)Efficient Tests for an Autoregressive Unit Root (1996)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (2005)WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)Oil shocks, policy uncertainty and stock market return (2013)
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References

  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form631 cited
  • 2006Oil prices and real exchange rates584 cited
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  • 2011The economic value of co-movement between oil price and exchange rate using copula-based GARCH models257 cited
  • 2015The impact of oil shocks on exchange rates: A Markov-switching approach253 cited
  • 1998Long-run equilibrium real exchange rates and oil prices249 cited
  • 2016The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis

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222 cited
  • 2017Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently ? A wavelet coherence analysis206 cited
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    • 2021Oil price and US dollar exchange rate: Change detection of bi-directional causal impact60 cited