کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5103430 | 1480106 | 2017 | 45 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cross-correlations between the US monetary policy, US dollar index and crude oil market
ترجمه فارسی عنوان
رابطه متقابل بین سیاست پولی ایالات متحده، شاخص دلار آمریکا و بازار نفت خام
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
This paper investigates the cross-correlations between the US monetary policy, US dollar index and WTI crude oil market, using a dataset covering a period from February 4, 1994 to February 29, 2016. Our study contributes to the literature by examining the effect of the US monetary policy on US dollar index and WTI crude oil through the MF-DCCA approach. The empirical results show that the cross-correlations between the three sets of time series exhibit strong multifractal features with the strength of multifractality increasing over the sample period. Employing a rolling window analysis, our empirical results show that the US monetary policy operations have clear influences on the cross-correlated behavior of the three time series covered by this study.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 467, 1 February 2017, Pages 326-344
Journal: Physica A: Statistical Mechanics and its Applications - Volume 467, 1 February 2017, Pages 326-344
نویسندگان
Xinxin Sun, Xinsheng Lu, Gongzheng Yue, Jianfeng Li,