Interactions between oil and financial markets - Do conditions of financial stress matter?

淡江大學機構典藏 > 商管學院 > 經濟學系暨研究所 > 期刊論文 > Item 987654321/109332

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题名:	Interactions between oil and financial markets - Do conditions of financial stress matter?
作者:	Wan, Jer-Yuh;Kao, Chung-Wei
关键词:	Oil price;Interest rates;Exchange rates;Financial stress;Threshold VAR
日期:	2015-12
上传时间:	2017-01-17 02:10:14 (UTC+8)
出版者:	Elevsier
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.
關聯:	Energy Economics 52(A), pp.160-175
DOI:	10.1016/j.eneco.2015.10.003
显示于类别:	[經濟學系暨研究所] 期刊論文

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