教師資料查詢 | 類別: 期刊論文 | 教師: 萬哲鈺 Wan Jer-yuh (瀏覽個人網頁)

標題:Interactions between oil and financial markets - Do conditions of financial stress matter?
學年104
學期1
出版(發表)日期2015/12/01
作品名稱Interactions between oil and financial markets - Do conditions of financial stress matter?
作品名稱(其他語言)
著者Jer-Yuh Wan; Chung-Wei Kao
單位
出版者
著錄名稱、卷期、頁數Energy Economics 52(A), pp.160-175
摘要This study uses a structural threshold VAR model to study the nonlinear relationships between oil and financial variables. The threshold effect is robust across models having different structural orderings of shocks. Evidence shows that shocks associated with different financial stress regimes explain the asymmetric responses of the system. Shocks in the stressed regime usually have larger and longer effects than shocks in the normal regime. The inverse relationship between real interest rate and real oil price is conditioned on a number of factors, and is not robust across all manner of circumstances. The relationship between oil price and the US dollar is shock-dependent. A negative shock that depreciates the dollar may trigger an increase in oil price, yet a positive oil shock may lead to appreciation of the dollar. Finally, oil's ability to hedge against rising risk is limited to a market with normal stress conditions. It is the US dollar that generally serves as a safe haven when financial markets are enmeshed in considerable tension.
關鍵字Oil price;Interest rates;Exchange rates;Financial stress;Threshold VAR
語言英文
ISSN0140-9883
期刊性質國外
收錄於SCI;SSCI;
產學合作
通訊作者Chung-Wei Kao
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
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