Macro wine in financial skins

Abstract

"This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature, the present approach takes a financial markets perspective using daily data. The fast-running simultaneous impacts are identified through heteroscedasticity by specifying multivariate EGARCH processes for the structural variances. While for the decade after 1986 no significance is found, thereafter oil price changes cause inverse reactions of the dollar price and affect its volatility. Reversely, dollar appreciation asymmetrically increases the oil price." (Author's abstract, IAB-Doku) ((en))

Cite article

Weber, E. (2008): Macro wine in financial skins. The oil-FX interdependence. (Sonderforschungsbereich Ökonomisches Risiko. Discussion paper 2008-048), Berlin, 10 p.