Artikel
Why is the correlation between crude oil prices and the US Dollar exchange rate time-varying? Explanations based on the role of key mediators
Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of 'very weak correlation-negative correlation-enhanced negative correlation-weakening negative correlation', but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a 'key mediating factors' hypothesis which points out that whether there is a common 'key mediating factor' is important source of the time-varying relationship between two assets. We argue that market trend and financial market sentiment undertook the role of 'key mediating factor' during the period of the 2002 to the financial crisis and financial crisis to 2013, while other periods lack the 'key mediating factors'.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 6 ; Year: 2018 ; Issue: 3 ; Pages: 1-13 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Financial Forecasting and Simulation
Energy and the Macroeconomy
- Thema
-
crude oil price
dollar index
time-varying
key mediating factor
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liao, Jia
Shi, Yu
Xu, Xiangyun
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2018
- DOI
-
doi:10.3390/ijfs6030061
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft.
Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Liao, Jia
- Shi, Yu
- Xu, Xiangyun
- MDPI
Entstanden
- 2018
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