oil price cycles and wavelets abstract the present paper addresses the question of the oil price macroeconomy relationship using world data and a time scale decomposition based on the theory of wavelets our approach is based on a global indicator the morgan stanley capital international msci index for the world and on the new framework offered by wavelets to analyse the oil price cycles and to investigate the oil price msci relationship this original approach enables us to identify that the cycles which contribute the most to oil price variations are 20 to 40 years cycles which correspond to the size of kuznets infrastructure cycles and probably represent energy investment cycles this wavelet decomposition also provides additional evidence to the reverse causality theory

forecasting exchange rates with commodity prices a global country analysis this paper investigates the predictive properties of import and export prices of commodities on the exchange rates a period from 1993 to 2016 is considered we find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables this holds irrespective of whether the countries are net exporters or importers of commodities however the forecasting power was even better in the 1990s and seems to have decreased since that that time nevertheless forecasts can even today be improved considerably by adding commodity prices

oil and the macroeconomy a markov state switching approach this paper analyzes the relationship between oil price shocks and postwar u s business cycle fluctuations the authors develop a generalized markov switching model of output that includes a measure of net real oil price increases and examine the capabilities of this variable to generate shifts in the mean of gdp growth and to predict transitions between dichotomous growth phases the results indicate that while the behavior of oil prices has been a contributing factor to the mean of low growth phases of output movements in oil prices generally have not been a principal determinant in the historical evidence of these phases copyright 1997 by ohio state university press

information rigidities inflation perceptions and the media lessons from the euro cash changeover the objective of theoretical models of information rigidities is to capture the fact that people are constrained in their ability to acquire and process all available information given that most people obtain their information about the economy from the media press coverage of the economy may exert an influence on peoples attitudes this paper tests for this influence by examining consumers inflation perceptions in the aftermath of the euro cash changeover which serves as a natural experiment using a new data set that quantifies the intensity and tone of media reports we document that media reporting has had a statistically significant and economically meaningful impact on inflation perceptions and contributed to their sharp rise in the aftermath of the euro cash changeover and to the divergence between inflation perceptions and actual inflation rates jel e53 d83

the winner s curse experiments with buyers and with sellers this paper explores the winner s curse phenomena as it was studied experimentally by kagel and levin experiments with the winner s curse are complicated by the fact that subjects can lose money and the experimenter has only a limited means of collecting it from them thus subjects enjoy only limited liability which has theoretical implications for behavior in the kagel and levin experiments subjects were removed from the bidders competition after losses reached a predetermined value this experimental procedure has unknown implications for the results so ambiguity exists about whether the winner s curse was actually observed in this study their results were replicated in an environment in which subjects were not removed the case in which competitors are sellers is also studied bankruptcy cannot be a problem in sellers competition in both cases the winner s curse is observed thus the limited liability cannot be an explanation for the phenomenon reported by kagel and levin in addition the paper examines the bidding behavior of all individuals and shows that this behavior does not fit any of the tested theories either on the aggregate or individual level the winner s curse did not disappear over time during the conduct of the research

dynamic connectedness of oil price shocks and exchange rates abstract using a novel method of isolating the oil price shocks we study how different sources of oil price shocks are connected to exchange rates of major oil dependent countries using daily data from march 1996 to february 2019 we find that oil price shocks resulting from changes in demand and risk significantly contribute to variation in exchange rates while supply shocks have virtually no impact the connectedness of this relationship between oil price shocks and exchange rates has significantly increased after the global financial crisis we also find that oil price shocks do not explain the variation in exchange rate volatility but we document significant volatility connectedness among exchange rates our findings have important implications for policy makers and financial market participants

china and the relationship between the oil price and the dollar abstract we study cointegration and causality between the real price of oil and the real price of the dollar over the 1974 2004 period our results suggest that a 10 rise in the oil price coincides with a 4 3 appreciation of the dollar in the long run and that the causality runs from oil to the dollar through the development of a theoretical model we then investigate possible reasons why this relationship could be reversed in the future due to the emergence of china as a major player on both the oil and the foreign exchange markets

the response of real exchange rates to various economic shocks substantial fluctuations in real exchange rates i e deviations from purchasing power parity ppp which closely mirror movements in nominal rates have been one of the most notable international economic events since the breakdown of the bretton woods system dornbusch s disequilibrium theory 9 which presumes different speeds of adjustment in assets and goods markets offers an explanation for temporary deviations from ppp only models assuming ppp as a long run relationship have not been successful in interpreting the movements of the real exchange rates although studies conducted for countries experiencing high or hyper inflation provide evidence favoring ppp 42 30 29 the empirical evidence on ppp for industrialized low inflation countries is not generally favorable 1 this is consistent with the view that ppp may hold better in high inflation countries where the disturbances to their economies are mostly monetary in origin 31 123 24 but ppp may not hold well when the real disturbances which change equilibrium relative prices dominate statistical evidence indicates that the real exchange rates of many countries are likely to be nonstationary or have long memory that is changes in the real values of many currencies tend to persist for very long period of time this persistence implies that fluctuations in the real exchange rates are largely due to long lasting effect of real disturbances after revealing that ppp does not hold as a long run concept for several exchange rates flynn and boucher 12 121 suggest that one possible explanation is that there are time varying real factors that are omitted from the ppp relationship there are several well established reasons why the real exchange rates may change in response to real disturbances in the first place permanent exogenous shocks to the tradable sector of the economy call for changes in competitiveness for instance a rise in the real price of oil will worsen the balance of trade position of a net oil importing country and therefore call for a real depreciation of the currency of the country in order to improve its competitive position 32 second when countries are growing at different rates productivity bias will typically result in

monetary policy rules macroeconomic stability and inflation a view from the trenches i estimate a forward looking monetary policy reaction function for the federal reserve for the periods before and after paul volcker s appointment as chairman in 1979 using information that was available to the fomc in real time from 1966 to 1995 the results suggest broad similarities in policy and point to a forward looking approach to policy consistent with a strong reaction to inflation forecasts during both periods this contradicts the hypothesis based on analysis with ex post constructed data that the instability of the great inflation was the result of weak fomc policy responses to expected inflation a difference is that prior to volcker s appointment policy was too activist in reacting to perceived output gaps that retrospectively proved overambitious drawing on contemporaneous accounts of fomc policy i discuss the implications of the findings for alternative explanations of the great inflation and the improvement in macroeconomic stability since then

causal flows between oil and forex markets using high frequency data asymmetries from good and bad volatility abstract this paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the u s dollar in the time frequency space using high frequency intraday data special attention is paid to the potential asymmetries in the causal effects between oil and forex markets the wavelet based granger causality method proposed by olayeni 2016 is applied to quantify the causal relations in the time and frequency domains simultaneously moreover the realized semivariance approach of barndoff nielsen et al 2010 is used to account for possible asymmetries in the transmission of volatility shocks the empirical results show that the significant causal links between oil prices and exchange rates are mainly concentrated in the long run and during periods of increased economic and financial uncertainty such as the global financial crisis and the subsequent european sovereign debt crisis further the causal effects from currency markets to the crude oil market are stronger than in the opposite direction consistent with the forward looking nature of exchange rates the role of the u s dollar as the key invoicing currency for global oil trading and the expanding financialization of the oil market since the mid 2000s in addition significant asymmetries coming from good and bad volatility are found at longer horizons specifically bad volatility seems to dominate good volatility in terms of the importance of transmission of volatility shocks

testing for indeterminacy an application to u s monetary policy reply this paper considers a prototypical new keynesian model in which the equilibrium is undetermined if monetary policy is passive the likelihood based estimation of dynamic equilibrium models is extended to allow for indeterminacies and sunspot fluctuations we construct posterior weights for the determinacy and indeterminacy region of the parameter space and estimates for the propagation of fundamental and sunspot shocks according to the estimated model u s monetary policy post 1982 is consistent with determinacy whereas the pre volcker policy is not we find that before 1979 indeterminacy substantially altered the propagation of shocks

efficiency in auctions with private and common values an experimental study this discussion has resulted in a publication in the american economic review 2002 92 3 625 43 auctions are generally not efficient when the object s expected value depends on private and common value information we report a series of first price auction experiments to measure the degree of inefficiency that occurs with financially motivated bidders while some subjects fall prey to the winner s curse they weigh their private and common value information in roughly the same manner as rational bidders with observed efficiencies close to predicted levels increased competition and reduced uncertainty about the common value positively affect revenues and efficiency the public release of information about the common value also raises efficiency although less than predicted

can the seller benefit from an insider in common value auctions abstract in existing models of first price common value auctions heterogeneous bidder information characterized by a well informed insider is detrimental to the seller s revenue we show that this is not a general principle the linkage effect of increased information identified by milgrom and weber has force in our model of heterogeneous bidders and dominates any adverse effects of an insider on revenues in addition a bidder with garbled information can profit in a first price auction if his information is private and an inside bidder may prefer to have less information about the outside bidder s signal journal of economic literature classification numbers d44 d82

the nexus between oil price and russia s real exchange rate better paths via unconditional vs conditional analysis abstract instead of analyzing the causality between two time series unconditional analysis as it is usually done the present study deals with the nexus between oil price and russia s real exchange rate conditioning upon potential control variables at well specified horizons and on a frequency by frequency basis this research accounts also for the possible transient linkages and signal discontinuities a major finding of this paper is deeply suggestive of a sharp causality running from oil price to real exchange rate in lower frequencies this implies that russia should better tackle with turbulence triggered by oil price and continue to reduce its energy dependency via drastic and proactive measures the economic and fiscal initiatives of putin administration may help to cope with sudden shocks to lessen the great oil dependence and to build confidence needed for economic recovery while our research does not say much about the routes through which oil price may affect differently real exchange rate it clearly indicates the presence of short term relationship conditional to gdp government expenditures terms of trade and productivity differential the conditional analysis and signal detection appear as meaningful exercises to find new insights into the focal issue

an empirical study of an auction with asymmetric information this paper examines federal auctions for drain age leases on the outer continental shelf from 1959 to 1969 these are leases that are adjacent to tracts on which a deposit has been discovered the authors find that the data strongly support the hypotheses that neighbor firms are better informed about the value of a lease than nonneighbor firms that neighbor firms coordinate their bidding decisions and that both types of firms bid strategically in accordance with the bayesian nash equilibrium model for first price sealed bid auctions with asymmetric information

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

interdependent value auctions with insider information theory and experiment abstract we develop a model of interdependent value auctions in which two types of bidders compete insiders who are perfectly informed about their value and outsiders who are informed only about the private component of their value because the bidding strategy of outsiders cannot efficiently adjust with that of insiders the second price auction is inefficient the english auction has an equilibrium in which the information outsiders infer from the history of drop out prices enables them to bid toward attaining efficiency the presence of insiders has positive impacts on the seller s revenue a laboratory experiment confirms key theoretical predictions despite evidence of naive bidding

oil prices and real exchange rates in this paper we investigate the long run relationship between real oil prices and real exchange rates by using a monthly panel of g7 countries from 1972 1 to 2005 10 we first test whether exchange rates are cointegrated with real oil prices it is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates we then examine the ability of real oil prices to forecast future real exchange returns panel predictive regression estimates suggest that real oil prices have significant forecasting power the out of sample prediction performances demonstrate greater predictability over longer horizons

what do we learn from the price of crude oil futures summary despite their widespread use as predictors of the spot price of oil oil futures prices tend to be less accurate in the mean squared prediction error sense than no change forecasts this result is driven by the variability of the futures price about the spot price as captured by the oil futures spread this variability can be explained by the marginal convenience yield of oil inventories using a two country multi period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline increased uncertainty also causes precautionary demand for oil to increase resulting in an immediate increase in the real spot price thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand an empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil copyright 2010 john wiley sons ltd

5 information impact and allocation rules in auctions with affiliated private values a laboratory study in affiliated private value auctions each bidder has perfect information regarding his her own value for the object at auction but higher values of the item for one bidder make higher values for other bidders more likely we report on a series of experiments examining three key implications of these auctions i in a first price auction public information about rivals values increases expected revenue ii an english auction increases expected revenue compared to a first price auction and iii a second price auction is isomorphic to an english auction in examining these issues we compare predictions of some ad hoc bidding models with nash equilibrium predictions in the first price auction experiments nash equilibrium bidding theory organizes the data better than either of two ad hoc bidding models public information about others valuations does increase average revenue but the increase in revenue is smaller and less reliable than predicted under risk neutral nash equilibrium bidding lower average revenue might be attributed to risk aversion while the high variability is attributed to a sizable frequency of individual bidding errors relative to the theory bidding theory precisely organizes english auction outcomes after a brief initial learning period the dominant strategy equilibrium does not organize second price auctions nearly as well as market prices persistently exceed predicted prices the difference between english and second price outcomes is attributed to effects of different information flows inherent in the structure of the two institutions on eliminating bidding errors revenue impacts of these two institutions relative to a first price auction are examined in light of observed bidding patterns

asymmetric english auctions abstract this paper studies equilibria of the n bidder single object english or open ascending price auction in a setting with interdependent values and asymmetric bidders maskin in h siebert ed privatization institut fur weltwirtschaften der universitat kiel kiel 1992 pp 115 136 showed that if the values satisfy a single crossing condition then the two bidder english auction has an efficient equilibrium in this paper two extensions of the single crossing condition the average crossing condition and the cyclical crossing condition are introduced the main result is that under either of these conditions the n bidder english auction has an efficient equilibrium

on the intraday dynamics of oil price and exchange rate what can we learn from china and india abstract the main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them we consider currencies of two major oil importing countries india and china over the sample period of january 1 2013 to october 31 2019 we find evidence of positive return spillover from the oil to the foreign exchange market however there is a lack of return spillover in the other direction oil jumps appear to have a negative impact on exchange rate conditional volatility and the latter responds asymmetrically to disentangled positive and negative oil price jumps we also report disentangled exchange rate jumps significant impact on conditional oil price volatility these results however are asymmetric based on the nature of jumps and alternative oil price series finally we do not find evidence of co jump between the oil and foreign exchange markets these results have important implications for investors and policymakers

long run equilibrium real exchange rates and oil prices abstract using cointegration and causality tests this paper demonstrates that the nonstationary behavior of us dollar real exchange rates over the post bretton woods era is due to the nonstationary behavior of real oil prices

the relationship between oil prices and exchange rates revisiting theory and evidence abstract this paper reviews existing theoretical and empirical research on the relationship between oil prices and exchange rates we start with theoretical transmission channels which point to bi directional causality empirical research is classified and shows that the evidence varies substantially depending on sample country choice and empirical method yet there are some common patterns i strong links between exchange rates and oil prices are frequently observed over the long run and ii either exchange rates or oil prices are a potentially useful predictor of the other variable in the short run but the effects are strongly time varying we also identify some important avenues for future research

dynamic link between oil prices and exchange rates a non linear approach abstract we explore the non linear relationship between crude oil prices and exchange rates of major currencies from quantitative and structural perspectives by utilizing bivariate normal mixture model the correlation coefficients between oil prices and exchange rates demonstrate that their dependences typically start from 2004 then dynamically change over time then we investigate whether business cycle and oil price shocks as two possible exogenous factors affect the dependence structure of oil fx linkage we find significant structural heterogeneity during economic expansion while little evidence of heterogeneity in recession this finding provides alternative interpretations for the enhanced dependence between oil prices and exchange rates and generates implications of financialization in commodity market in terms of oil price shocks kilian 2009 the normal mixture model captures significant heterogeneity implying that unstable oil fx dependence structure is frequently associated with oil aggregate demand shocks and oil specific demand shocks with an emphasis on the dynamic weights of two underlying states we interestingly find that structural heterogeneities coincide with a variety of geopolitical and economic events the application of normal mixture not only provide us knowledge of non linear relationship between oil prices and exchange rates but also guidance for investors in risk management and portfolio diversification complementary to the traditional portfolio theory based on normal distribution

expectation traps and discretion abstract we develop a dynamic model with optimizing private agents and a benevolent optimizing monetary authority that cannot commit to future policies we characterize the set of sustainable equilibria and discuss the implications for institutional reform we show that there are equilibria in which the monetary authority pursues inflationary policies because that is what private agents expect we call such equilibria expectation traps alternative institutional arrangements for the conduct of monetary policy which impose limited forms of commitment on the policymaker can eliminate expectation traps journal of economic literatureclassification numbers e31 e42 e50 e51 e58

auctions and the price of art the value of most important works of art is established by public auction either directly by an actual sale or indirectly by reference to other sales how the auction system works is thus a critical determinant of how the public s preferences are translated into the evaluation of artistic work the auction system is central in the determination of the incentives for artistic work and the efficiency of the auction system is a key determinant of the cost of creating and distributing works of art this paper contains a review of the burgeoning new research of the last decade that has been designed to shed light on how the art auction system actually works what it indicates about price formation and how well it performs we begin our discussion in section 2 with a short description of the mechanics of the auction system and then organize the remainder of our discussion around two major topics the first topic concerns how auction prices can be used to determine and compare overall price movements within the art market and other markets and the second topic concerns how the auction mechanism influences prices we

commodity currencies and the real exchange rate abstract this paper examines whether the real exchange rates of commodity exporting countries and the real prices of their commodity exports move together over time using international monetary fund imf data on the world prices of 44 commodities and national commodity export shares we construct new monthly indices of national commodity export prices for 58 commodity exporting countries over 1980 2002 evidence of a long run relationship between national real exchange rate and real commodity prices is found for about one third of the commodity exporting countries the long run real exchange rate of these commodity currencies is not constant as would be implied by purchasing power parity based models but is time varying being dependent on movements in the real price of commodity exports

booming sector and de industrialisation in a small open economy this paper presents a theoretical analysis of the dutch disease the phenomenon whereby a boom in one traded goods sector squeezes porfitability in other traded goods sectors both by directly bi

an experimental analysis of auctions with interdependent valuations abstract we study experiments in an auction setting with interdependent valuation groups of three players receive private signals and then bid for a single indivisible item valuations for the item differ within groups and depend asymmetrically on a bidder s own and other bidders signals theoretically the english auction yields efficient allocations while other standard auction formats fail to do so consistent with equilibrium predictions we find that an english auction yields significantly more efficiency than a second price sealed bid auction we also study the seller s expected revenue and the bidders expected profits and find that the experimental results are close to the theoretical predictions

equilibria in open common value auctions abstract a sufficient condition for uniqueness of nash equilibrium in second price common value auctions is identified we establish that there exists a continuum of equilibria in irrevocable exit common value auctions for the case of two bidders we provide plausible sufficient conditions under which the expected seller revenue is maximized at the symmetric equilibrium an example in which the auctioneer s revenue at the symmetric equilibrium in a second price auction is strictly greater than the revenue at many asymmetric equilibria in the corresponding irrevocable exit auction is provided

self fulfilling expectations and the inflation of the 1970s evidence from the livingston survey abstract using survey data on expectations we examine whether the response of monetary policy to sudden movements in expected inflation contributed to the persistent high inflation of the 1970s the evidence suggests that prior to 1979 the fed accommodated temporary shocks to expected inflation which then led to persistent increases in actual inflation we do not find this behavior in the post 1979 data among commonly cited factors oil and fiscal shocks do not appear to have triggered an increase in expected inflation that eventually resulted in higher actual inflation

understanding the oil price exchange rate nexus for the fiji islands in this paper we examine the relationship between oil price and the fiji us exchange rate using daily data for the period 2000 2006 we use the generalised autoregressive conditional heteroskedasticity garch and exponential garch egarch models to estimate the impact of oil price on the nominal exchange rate we find that a rise in oil prices leads to an appreciation of the fijian dollar vis a vis the us dollar

the empirical relationship between energy futures prices and exchange rates abstract this paper investigates the interaction between energy futures prices and exchange rates results are presented to show that futures prices for crude oil heating oil and unleaded gasoline are co integrated with a trade weighted index of exchange rates this is important because it means that there exists a long run equilibrium relationship between these four variables granger causality results for both the long and short run are presented evidence is also presented that suggests exchange rates transmit exogenous shocks to energy futures prices

does exchange rate management affect the causality between exchange rates and oil prices evidence from oil exporting countries abstract the bi directional causality between exchange rates and oil prices of oil exporting countries has been widely investigated since the oil crisis in the 1970s the classical theoretical framework assumes that countries adopt free floating exchange rate arrangements and empirical studies seldom consider exchange rate restrictions when investigating oil exporters that always manage exchange rates to address these limitations this study designs a comparative analysis for three groups of oil exporting economies that adopt different foreign exchange rate policies the analysis aims to examine whether and how intervention behavior may distort the causal relationship between exchange rates and oil prices we first show the non linear causality relationships for countries with free floating exchange rate arrangements in both long and short terms then we establish how the managed floating policy can eliminate the impact of oil prices on exchange rates in bull markets but fail to prevent exchange rate depreciation in bear markets in bear markets a negative non linear feedback from exchange rates to oil prices prevails in these countries however contrary to common wisdom the strict soft pegged exchange rate arrangement cannot remove all the linkages between exchange rates and oil prices a small but significant response of exchange rates toward oil prices is detected for kuwait and saudi arabia a similar effect for kazakhstan is only found in bear markets in addition this study re investigates the relationship between exchange rate and the domestic currency price of oil the conclusions are similar except that the relationship is weakened in free floating countries but strengthened in managed floating countries during the bear market periods

the price puzzle reconsidered abstract a large literature has employed structural vector autoregressive svar models to investigate the empirical effects of u s monetary policy many of these models regularly produce a price puzzle a rise in the aggregate price level in response to a contractionary innovation to monetary policy unless commodity prices are included conventional wisdom maintains that commodity prices resolve the price puzzle because they contain information that helps the federal reserve forecast inflation i examine a number of plausible alternative indicator variables and find little correlation between an ability to forecast inflation and an ability to resolve the price puzzle additionally a sub sample investigation reveals that evidence of a price puzzle is associated primarily with the 1959 1979 sample period and that most indicators including commodity prices cannot resolve the puzzle over this period

does the time consistency problem explain the behavior of inflation in the united states abstract this paper derives the restrictions imposed by barro and gordon s theory of time consistent monetary policy on a bivariate time series model for inflation and unemployment and tests those restrictions using quarterly us data from 1960 through 1997 the results show that the data are consistent with the implications of the theory for the long run behavior of the two variables indicating that the theory can explain the initial rise and subsequent fall of inflation over the past four decades the results also suggest that the theory must be extended to account more fully for the short run dynamics that appear in the data

asset prices and expected monetary policy evidence from daily data this article explores the relationships among libor gold prices the exchange rate oil prices fed funds futures prices and stock prices at a daily frequency this article examines whether expected monetary policy measured by changes in the prices of fed funds futures contracts reacts to high frequency changes in asset prices and in turn whether asset prices respond to changes in expected monetary policy the article reveals that there are statistically significant relationships between expected us monetary policy and shocks to libor and exchange rates it also reveals that there is no evidence of a systematic relationship between stock prices and expected monetary policy changes splitting the data into expansionary and recessionary periods using nber dating we find results for the expansionary periods that are very similar to the results for the entire period for the periods of recession we find little evidence of significant linkages between markets

risk dependence of covar and structural change between oil prices and exchange rates a time varying copula model abstract this paper analyses the dynamic dependence between wti crude oil and the exchange rates of the united states and china taking structural changes of dependence into account by using six time varying copula models upside and downside conditional values at risk covars are introduced specifically to measure the upward and downward risk dependences between oil prices and exchange rates the findings indicate a structural break point of dependence exists between daily or weekly crude oil and the us dollar index the dependence between crude oil and the rmb exchange rate is faintly positive with lower tail dependence while the dependence between crude oil and the us dollar index is significantly negative with lower upper and upper lower tail dependence finally the covars results show that there is significant risk spillover from crude oil to chinese and the us exchange rate markets furthermore the spillover effect is significantly asymmetry in chinese exchange rate market in response to rising and falling oil returns while the asymmetry of spillover effect for the us dollar index is not significant

modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in brics economies evidence using quantile coherency and ngcovar approaches abstract in this study we examine the dependence structure and systemic risk between return series of the prices of crude oil and the brics exchange rates to us using the quantile coherency methods of barunik and kley 2015 and the nonparametric conditional value at risk granger causality test hereafter ngcovar of diks and wolski 2018 over the period 2005 2017 further we use the hiemstra and jones 1994 hereafter hj and diks and panchenko 2005 hereafter dp tests for comparison purposes our findings indicate that all countries reveal significant negative dependence in the long run dynamics between oil prices and brazilian indian and south african currencies hj and dp tests suggest that lagged crude oil prices have predictive power for the brazilian and russian exchange rates furthermore a robust unidirectional lagged dependence exists from the brazilian exchange rate to crude oil prices concerning the chinese indian and south african currencies we find no contagion effects from to those countries to the oil market for russia there is limited evidence of contagion effects these findings provide insights for regulators and international investors

the value of an informed bidder in common value auctions abstract i compare two information structures in a common value first price auction with two bidders in one each of the two bidders knows only his own signal about the value of the object and in the other one of the bidders learns his opponent s signal as well gaining the additional information in the second information structure makes the informed bidder worse off if the value is submodular in the bidders signals and better off if it is supermodular if the value is supermodular then the seller s revenue tends to be lower with the informed bidder than without

is bitcoin a hedge a safe haven or a diversifier for oil price movements a comparison with gold abstract this study assesses the roles of bitcoin as a hedge a safe haven and or a diversifier against extreme oil price movements in comparison to the corresponding roles of gold we use a quantile on quantile regression approach to capture the dependence structure between the considered market returns under different bitcoin market conditions while considering nuances of oil price movements compared to gold our findings show that both bitcoin and gold would serve the roles of a hedge a safe haven and a diversifier for oil price movements however this property seems to be sensitive to the bitcoin s and gold s different bear normal or bull market conditions and to whether the oil price is in a downside normal or upside regime by controlling for new and relevant u s and global uncertainty indicators we confirm that both bitcoin and gold but not oil are assets where investors may park their cash during times of political and economic turmoil the conditional value at risk covar approach to risk management is then conducted providing robust evidence of the usefulness of each of the bitcoin and gold in expanded oil portfolios in terms of diversification opportunities and downside risk reductions

commodity currencies and the real exchange rate abstract this paper shows that a change in the terms of trade of a commodity exporting country could cause the relative price of nontraded goods to rise or fall depending on the strength of income and substitution effects

oil shocks and aggregate macroeconomic behavior the role of monetary policy a recent paper by bernanke gertler and watson 1997 suggests that monetary policy could be used to eliminate any recessionary consequences of an oil price shock this paper challenges this conclusion on two grounds first we question whether the federal reserve actually has the power to implement such a policy for example we consider it unlikely that additional money creation would have succeeded in reducing the fed funds rate by 900 basis points relative to the values seen in 1974 second we point out that the size of the effect that bernanke gertler and watson attribute to oil shocks is substantially smaller than that reported by other researchers primarily due to their choice of a shorter lag length than that used by other researchers we offer evidence in favor of the longer lag length employed by previous research and show that under this specification even the aggressive federal reserve policies proposed would not have succeeded in averting a downturn