The impact of the Asian crisis on the behavior of US and international petroleum prices
Tóm tắt
Từ khóa
Tài liệu tham khảo
Bopp, 1987, Are petroleum futures prices good predictors of cash value, J. Futures Mark., 7, 705, 10.1002/fut.3990070609
Claessens, 2001, Contagion: why crisis spread and how this can be stopped, 19
Crowder, 1993, A co-integration test for oil futures market efficiency, J. Futures Mark., 13, 933, 10.1002/fut.3990130810
Crowder, 1998, Co-integration, forecasting and international stock prices, Global Finance J., 9, 181, 10.1016/S1044-0283(98)90003-5
Forbes, K., 2000. The Asian flu and Russian virus: firm level evidence on how crises are transmitted internationally, NBER Working Paper #7807
Granger, 2000, A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu, Q. Rev. Econom. Finance, 40, 337, 10.1016/S1062-9769(00)00042-9
Gulen, 1999, Regionalization in world crude oil markets: further evidence, Energy J., 20, 125, 10.5547/ISSN0195-6574-EJ-Vol20-No1-7
Hammoudeh, 2003, Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations, North Am. J. Econ. Finance, 14, 89, 10.1016/S1062-9408(02)00112-2
Hendry, 2000, Explaining co-integration analysis: part I, Energy J., 21, 1, 10.5547/ISSN0195-6574-EJ-Vol21-No1-1
Hendry, 2001, Explaining cointegration analysis: Part II, Energy J., 22, 75, 10.5547/ISSN0195-6574-EJ-Vol22-No1-4
Jeon, 2002, Foreign exchange market efficiency, co-integration and policy coordination, Appl. Econom. J., 9, 61
Johansen, 1988, Statistical analysis of co-integration vectors, J. Econom. Dyn. Control, 12, 231, 10.1016/0165-1889(88)90041-3
Johansen, 1990, Maximum likelihood estimation and inferences on co-integration–with applications to demand for money, Oxford Bull. Econom. Stat., 52, 169, 10.1111/j.1468-0084.1990.mp52002003.x
Quan, 1992, Two step testing procedure for price discovery role of futures prices, J. Futures Mark., 12, 139, 10.1002/fut.3990120203
Rapp, 1999, Exchange rate market efficiency: across and within countries, J. Econom. Bus., 51, 423, 10.1016/S0148-6195(99)00017-X
Schwartz, 1994, Price discovery in petroleum markets: arbitrage, co-integration and the time interval of analysis, J. Futures Mark., 14, 147, 10.1002/fut.3990140204
Serletis, 1990, Market efficiency and co-integration: an application to petroleum markets, Rev. Futures Mark., 9, 372
Sheng, 2000, A study of co-integration and variance decomposition among national equity indices before and during the period of the Asian financial crisis, J. Multinatl. Manage., 10, 345, 10.1016/S1042-444X(00)00034-7
Silvapulle, 1999, The relationship between spot and futures prices: evidence from the crude oil market, J. Futures Mark., 19, 175, 10.1002/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H
Tang, 2002, An empirical exploration of the world oil price under the target zone model, Energy Econom., 24, 577, 10.1016/S0140-9883(02)00057-9
Urbain, 1992, On weak exogeneity in error-correction models, Oxford Bull. Econom. Stat., 54, 187, 10.1111/j.1468-0084.1992.mp54002004.x