Usted está aquí

Back to top

Dynamic connectedness and causality between oil prices and exchange rates

Martes, 10 Octubre 2017

We study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets. Connectedness exhibits important time variation and presents a positive trend during our sample period. We find evidence of bidirectional causality between oil prices and exchange rates, which presents also considerable time-variation. Causality is identified for longer periods of time from oil prices to exchange rates. However, we also find evidence of reverse causality, mainly in the period after the Subprime Financial Crisis. Our results provide evidence supporting the hypothesis of the financialization of oil markets.

Autores

Autores:

Lo más reciente

Adriana Paola Morales-Acevedo, Daniel Esteban Osorio-Rodríguez, Juan Sebastián Lemus-Esquivel, Miguel Sarmiento
Carlos Alberto Arango-Arango, Yanneth Rocío Betancourt-García, Manuela Restrepo-Bernal, Germán Zuluaga-Giraldo Germán Zuluaga-Giraldo
Ligia Alba Melo-Becerra, Jorge Enrique Ramos-Forero, Jorge Leonardo Rodríguez Arenas, Hector Manuel Zárate-Solano