Interactions between oil and financial markets - Do conditions of financial stress matter?
學年 104
學期 1
出版（發表）日期 2015-12-01
作品名稱 Interactions between oil and financial markets - Do conditions of financial stress matter?
作品名稱（其他語言）
著者 Jer-Yuh Wan; Chung-Wei Kao
單位
出版者
著錄名稱、卷期、頁數 Energy Economics 52(A), pp.160-175
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.
關鍵字 Oil price;Interest rates;Exchange rates;Financial stress;Threshold VAR
語言 en
ISSN 0140-9883
期刊性質 國外
收錄於 SCI SSCI
產學合作
通訊作者 Chung-Wei Kao
審稿制度 是
國別 NLD
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/109332 )