Oil prices, exchange rates and emerging stock markets
Tóm tắt
Từ khóa
Tài liệu tham khảo
Abadir, 1999, The influence of VAR dimension on estimator biases, Econometrica, 67, 163, 10.1111/1468-0262.00008
Akram, 2009, Commodity prices, interest rates and the dollar, Energy Econ., 31, 838, 10.1016/j.eneco.2009.05.016
Amano, 1998, Oil prices and the rise and fall of the US real exchange rate, J. Int. Money Finance, 17, 299, 10.1016/S0261-5606(98)00004-7
Apergis, 2009, Do structural oil-market shocks affect stock prices?, Energy Econ., 31, 569, 10.1016/j.eneco.2009.03.001
Basher, 2006, Oil price risk and emerging stock markets, Glob. Finance J., 17, 224, 10.1016/j.gfj.2006.04.001
Benassy-Quere, 2007, China and the relationship between the oil price and the dollar, Energy Policy, 35, 5795, 10.1016/j.enpol.2007.05.035
Blanchard, 2007, The macroeconomic effects of oil shocks: why are the 2000s so different from the 1970s?, 13368
Bloomberg, 1995
Boyer, 2007, Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Econ., 29, 428, 10.1016/j.eneco.2005.12.003
BP Statistical Review of World Energy
Cheng, 2007, A future global economy to be built by BRICs, Glob. Finance J., 18, 143, 10.1016/j.gfj.2006.04.003
Christiano, 2007, Assessing structural VARs
Elliott, 1996, Efficient tests for an autoregressive unit root, Econometrica, 64, 813, 10.2307/2171846
El-Sharif, 2005, Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Econ., 27, 819, 10.1016/j.eneco.2005.09.002
Faff, 1999, Oil price risk and the Australian stock market, J. Energy Finance Dev., 4, 69, 10.1016/S1085-7443(99)00005-8
Fernández-Villaverde, 2007, ABCs (and Ds) of understanding VARs, Am. Econ. Rev., 97, 1021, 10.1257/aer.97.3.1021
Ferson, 1994, Sources of risk and expected returns in global equity markets, J. Bank. Finance, 18, 775, 10.1016/0378-4266(93)00020-P
Ferson, 1995, Predictability and time-varying risk in world equity markets, Res. Finance, 13, 25
Goldberg, 2008, Vehicle currency use in international trade, J. Int. Econ., 76, 177, 10.1016/j.jinteco.2008.07.001
Hamilton, 1994
Hamilton, 2009, Causes and consequences of the oil shock of 2007–08, Brookings Papers on Economics Activity, 215, 10.1353/eca.0.0047
Hamilton, 2010, Nonlinearities and the macroeconomic effects of oil prices, No. 16186
Hammoudeh, 2004, Dynamic relationships among GCC stock markets and NYMEX oil futures, Contemp. Econ. Policy, 22, 250, 10.1093/cep/byh018
Hammoudeh, 2005, Oil sensitivity and systematic risk in oil-sensitive stock indices, J. Econ. Bus., 57, 1, 10.1016/j.jeconbus.2004.08.002
Hammoudeh, 2004, Relationships among US oil prices and oil industry equity indices, Int. Rev. Econ. Finance, 13, 427, 10.1016/S1059-0560(03)00011-X
Hansen, 1980, Formulating and estimating linear rational expectations models, J. Econ. Dyn. Control., 2, 7, 10.1016/0165-1889(80)90049-4
Harris, 2009, Testing for a unit root in the presence of a possible break in trend, Econometric Theory, 25, 1545, 10.1017/S0266466609990259
Haug, A., Smith, C., forthcoming. Local linear impulse responses for a small open economy, Oxford Bulletin of Economics and Statistics; available online at http://dx.doi.org/10.1111/j.1468-0084.2011.00643.x.
He, 2010, Global economic activity and crude oil prices: a cointegration analysis, Energy Econ., 32, 868, 10.1016/j.eneco.2009.12.005
Henriques, 2008, Oil prices and the stock prices of alternative energy companies, Energy Econ., 30, 998, 10.1016/j.eneco.2007.11.001
Herrera, 2009, Oil price shocks, systematic monetary policy, and the ‘Great Moderation’, Macroecon. Dyn., 13, 107, 10.1017/S1365100508070454
Huang, 2007, The role of oil price shocks on China's real exchange rate, China Econ. Rev., 18, 403, 10.1016/j.chieco.2006.02.003
Huang, 1996, Energy shocks and financial markets, J. Futur. Mark., 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q
Huang, 2005, The asymmetry of the impact of oil price shocks on economic activities: an application of the multivariate threshold model, Energy Econ., 27, 455, 10.1016/j.eneco.2005.03.001
Jordà, 2005, Estimation and inference of impulse responses by local projections, Am. Econ. Rev., 95, 161, 10.1257/0002828053828518
Kaneko, 1995, Relative importance of economic factors in the US and Japanese stock markets, Journal of the Japanese and International Economies, 9, 290, 10.1006/jjie.1995.1015
Kapetanios, 2007, Making a match: combining theory and evidence in policy-oriented macroeconomic modelling, J. Econ., 136, 565, 10.1016/j.jeconom.2005.11.007
Kilian, 2008, Exogenous oil supply shocks: how big are they and how much do they matter for the US economy?, Rev. Econ. Stat., 90, 216, 10.1162/rest.90.2.216
Kilian, 2008, A comparison of the effects of exogenous oil supply shocks on output and inflation in the G-7 countries, J. Eur. Econ. Assoc., 6, 78, 10.1162/JEEA.2008.6.1.78
Kilian, 2009, Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market, Am. Econ. Rev., 99, 1053, 10.1257/aer.99.3.1053
Kilian, 2009, The impact of oil price shocks on the U.S. stock market, Int. Econ. Rev., 50, 1267, 10.1111/j.1468-2354.2009.00568.x
Kilian, 2009
Krugman, 1983, Oil and the dollar
Krugman, 1983, Oil shocks and exchange rate dynamics
Lin, 1996, Co-integration constraint and forecasting: an empirical examination, J. Appl. Econ., 11, 519, 10.1002/(SICI)1099-1255(199609)11:5<519::AID-JAE410>3.0.CO;2-Q
Lizardo, 2010, Oil price fluctuations and US dollar exchange rates, Energy Econ., 32, 399, 10.1016/j.eneco.2009.10.005
Loretan
McCauley, 2009, Dollar appreciation in 2008: safe haven, carry trades, dollar shortage and overhedging, BIS Q. Rev., 85
Melvin, 2009, The crisis in the foreign exchange market
Ng, 2001, Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519, 10.1111/1468-0262.00256
Papapetrou, 2001, Oil price shocks, stock markets, economic activity and employment in Greece, Energy Econ., 23, 511, 10.1016/S0140-9883(01)00078-0
Park, 2008, Oil price shocks and stock markets in the US and 13 European countries, Energy Econ., 30, 2587, 10.1016/j.eneco.2008.04.003
Perron, 2007, A simple modification to improve the finite sample properties of Ng and Perron's unit root tests, Econ. Lett., 94, 12, 10.1016/j.econlet.2006.06.009
Pesavento, 2006, Small sample confidence intervals for multivariate IRFs at long horizons, J. Appl. Econ., 21, 1135, 10.1002/jae.894
Phillips, 1998, Impulse response and forecast error variance asymptotics in nonstationary VARs, J. Econ., 83, 21, 10.1016/S0304-4076(97)00064-X
Sadorsky, 1999, Oil price shocks and stock market activity, Energy Econ., 21, 449, 10.1016/S0140-9883(99)00020-1
Sadorsky, 2000, The empirical relationship between energy futures prices and exchange rates, Energy Econ., 22, 253, 10.1016/S0140-9883(99)00027-4
Sadorsky, 2001, Risk factors in stock returns of Canadian oil and gas companies, Energy Econ., 23, 17, 10.1016/S0140-9883(00)00072-4
Sims
Sims, 1990, Inference in linear time series models with some unit roots, Econometrica, 58, 113, 10.2307/2938337
Toda, 1995, Statistical inference in vector autoregressions with possibly integrated process, J. Econ., 66, 225, 10.1016/0304-4076(94)01616-8
Zhang, 2008, Spillover effect of US dollar exchange rate on oil prices, Journal of Policy Modelling, 30, 973, 10.1016/j.jpolmod.2008.02.002