کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7373858 | 1479770 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What determines the long-term correlation between oil prices and exchange rates?
ترجمه فارسی عنوان
چه چیزی تعیین کننده همبستگی بلندمدت بین قیمت نفت و نرخ ارز است؟
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this study, we obtain the long-term correlation between oil prices and exchange rates by employing the dynamic conditional correlation-mixed data sampling (DCC-MIDAS) model. We then identify the factors that influence the long-term correlation using panel data analysis. We find that the long-run correlations between oil prices and exchange rates are negative for all oil-exchange rate markets except Japan. We also find that both inflation and term spread have negative effects, while the risk-free interest rate has a positive effect on the long-term correlation between oil prices and exchange rates. Importantly, the empirical results show that an increase in inflation will significantly damage the real value of the currency itself.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 44, April 2018, Pages 140-152
Journal: The North American Journal of Economics and Finance - Volume 44, April 2018, Pages 140-152
نویسندگان
Lu Yang, Xiao Jing Cai, Shigeyuki Hamori,