a dynamic theory of collective goods programs a collective goods program such as an entitlement program distributes benefits and costs according to constituents characteristics this paper presents a dynamic theory of the legislative choice of collective goods programs based on a sequential model of proposal making and voting in a majority rule legislature where the status quo in a session is given by the program last enacted a stationary markov perfect equilibrium is characterized for a unidimensional collective goods program and yields a generalized median voter theorem comparative statics on preferences and legislative procedures and a characterization of the dynamics of such programs equilibrium programs can expand or contract over time but they ultimately converge to the median on the path to that point legislators may act strategically to address the durability problem that a future legislature can undo the actions of the present legislature by strategically positioning the status quo to limit the changes that future legislatures can make

does oil price variability affect asean exchange rates evidence from panel cointegration test abstractusing panel data this article investigates the long run relationship between real oil prices and real exchange rates for selected asean countries by utilizing quarterly data from 1973 q1 to 2013 q4 the modelling implementation starts with the determination of the stationarity condition of the variables which are found to be integrated of order one using maddala and wu s 1999 panel cointegration test the article finds evidence of cointegration among the variables the fully modified ols fmols and dynamic ols dols are then used to estimate the long run relationship between the variables followed by applying toda yamamoto causality test the findings exhibit bidirectional causality between real oil prices and real exchange rates in the long run where it is highly significant

conditional dependence structure between oil prices and exchange rates a copula garch approach abstract we study the conditional dependence structure between crude oil prices and u s dollar exchange rates using a copula garch approach various copula functions of the elliptical archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish market phases over the 2000 2011 period we find evidence of significant and symmetric dependence for almost all the oil exchange rate pairs considered the rise in the price of oil is found to be associated with the depreciation of the dollar moreover we show that student t copulas best capture the extreme dependence and that taking the extreme comovement into account leads to improve the accuracy of var forecasts our main results remain unchanged when considering alternative garch type specifications and the crisis period but are sensitive to the use of raw returns

crude oil trade and current account deficits abstract this paper provides an empirical exploration into the relationship between crude oil trade and a nation s current account for 91 countries over the 1984 2009 period reduced oil import dependence may initially reduce a country s general trade deficit under certain conditions the analysis probes the nature of this relationship and whether it holds equally to oil importing and oil exporting countries after controlling for other exogenous drivers we find that net oil exports are a significant factor in explaining current account surpluses but that net oil imports often do not influence current account deficits among all oil importers the one exception applies to relatively rich countries where higher oil imports appear to contribute to greater current account deficits one explanation for these trends is that oil exporters and wealthier oil importers may view oil income gains and losses as temporary income sources that influence their savings patterns

reassessing the empirical relationship between the oil price and the dollar abstract this paper aims at reassessing the empirical relationship between the real price of oil and the u s dollar real effective exchange rate over the 1974 2015 period we find that changes in both variables are now linked by a negative relationship going from the dollar exchange rate to the real oil price however the same relationship is found positive when ending the sample in the mid 2000s in line with the previous literature to understand and investigate this evolution we rely on a nonlinear smooth transition regression model in which the oil price dollar nexus depends on the dynamics followed by the u s currency our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values as in the early eighties

oil and foreign exchange market tail dependence and risk spillovers for mena emerging and developed countries vmd decomposition based copulas abstract this paper examines the short and medium run dependence structures between oil and currency markets for mena other developing and developed countries using a novel multiresolution decomposition method namely the variational mode decomposition vmd along with a battery of time invariant and time varying symmetric and asymmetric copula functions further we assess the downside and upside short and medium run risk spillovers from oil to u s exchange rate returns and vice versa by computing the conditional value at risk covar risk measures before the copula estimations we apply the spillover index of diebold and yilmaz 2012 and network diagrams to identify and select the currencies that are the most significant net contributors or net receivers of returns from to the oil currency markets the copula results show strong evidence of time varying and high average tail dependence between oil returns and the fx markets which are net transmitters to oil for the short and medium time horizons on the other hand we find average and relatively low dynamic dependence between oil and the net receiver currencies regardless of the time horizons moreover there is evidence of up and down risk asymmetric systemic risks from oil to currencies and vice versa for some countries in the short and medium run horizons finally the risk spillovers are asymmetric over time and investment horizons these results have several important implications for hedging strategies and diversification benefits for oil and fx traders and institutional investors

caps on political lobbying the cost of political campaigns in the u s has risen substantially in recent years for example real spending on congressional election campaigns doubled between 1976 and 1992 steven d levitt 1995 there are many reasons why increased campaign spending might be socially harmful first increased spending means increased fund raising which may keep politicians from their legislative duties 1 second a lobbyist who makes a large campaign contribution may have undue influence on electoral outcomes on the shaping of legislation or on the outcome of regulatory proceedings 2 that is the socially preferred candidate or legislation may not prevail likewise a lobbyist involved in a regulatory matter or a competition for a government contract may benefit unduly from a legislator s intervention 3 third a perception that campaign contributions purchase influence may lead to increased tolerance of corruption in the private sector a desire to control campaign spending has spawned many initiatives to limit both campaign contributions and spending beginning with the passage of the federal election campaign act feca political action committees pacs can contribute at most 5 000 per election to a candidate while individuals can contribute at most 1 000 restrictions have also been put on in kind contributions making it more difficult to circumvent these limits 4 while direct restrictions on campaign spending have proven difficult to implement recent initiatives aim to impose voluntary spending limits and stricter limits on contributions 5 despite the existing legislation and the proposals to limit contributions little is known about the impact of contribution limits on aggregate expenditures while it is intuitively appealing that aggregate expenditures would drop we challenge that intuition here we study a lobbying game and show that a cap on individual lobbyists expenditures may have the perverse effect of increasing aggregate expenditures and loweri this abstract was borrowed from another version of this item

multi scale dependence structure and risk contagion between oil gold and us exchange rate a wavelet based vine copula approach abstract this study makes a systemic analysis of dependence and risk contagion among oil gold and the us dollar foreign exchange us fx markets employing the wavelet method and a time varying tri variate vine copula model compared to previous research our empirical findings not only reveal the impact of co variate instead of pairwise analysis but also reveal the patterns of heterogeneity influence in different time horizons both dynamic average dependence and tail dependence show that the three assets are better integrated in the medium run time scales than the short run time scales whereby us fx connects the three assets in the short term while gold does so in the medium term all three multi variate scenarios show that risk contagion is temporal at different time scales the oil market was found to be more sensitive to the upside and downside risk contagion of the gold market in the short run time scales and vice versa asymmetry also shows that both the us fx and gold market are more sensitive to upside and downside risk contagion in the medium run time scales

bicameralism and its consequences for the internal organization of legislatures theories of organization of legislatures have mainly focused on the u s congress explaining why committee systems emerge there but not explaining variance in organization across legislatures of different countries to analyze the effects of different constitutional features on the internal organization of legislatures we adopt a vote buying model and consider the incentives to delegate decision rights in a game among legislative chambers we show how presidential veto power and bicameral separation can encourage a legislative chamber to create internal veto players or supermajority rules while a unicameral structure can encourage legislators to delegate power to a leader

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

interactions between oil and financial markets do conditions of financial stress matter abstract 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

linkages among energy price exchange rates and stock markets evidence from emerging african economies this study examines the dynamic links among oil prices foreign exchange rates and stock markets in emerging africa using recent 10 years data and var bekk garch forecasting framework we find evid

modeling returns and volatility transmission between oil price and us nigeria exchange rate article i nfo this paper models returns and volatility transmission between oil price op and us nigeria exchange rate exr consequently it provides five main innovations i it analyzes op and exr using the recently devel oped test by narayan and popp 2010 np which allows for two structural breaks in the data series ii it employs the narayan and liu 2011 nl garch unit root test to evaluate robustness of np test iii it con siders the newly developed var garch model to capture the spillover effects in the returns and volatility of op and exr iv it modifies the var garch model to account for structural breaks obtained from the np procedure and v using the results obtained from the var garch model it examines the optimal weights of holding oil and foreign exchange fx assets and also computes the hedging ratios in the presence of oil risk based on the np and nl tests it finds robust structural breaks that coincide with the period of global fi nancial crisis as well as period of fx crisis in nigeria also it establishes a bidirectional returns and spillover transmission between oil and fx markets finally its findings reveal evidence of hedging effectiveness involving oil and fx markets in nigeria and thus the inclusion of oil into a diversified portfolio of fx will improve its risk adjusted return performance

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

do exchange rates respond asymmetrically to shocks in the crude oil market abstract the paper argues that exchange rates respond asymmetrically to different shocks to the crude oil market we apply kilian s 2009 methodology to disentangle shocks to the crude oil market into distinct demand and supply shocks and examine the response of the u s real and nominal trade weighted u s dollar exchange rate indexes as well as six other bilateral exchange rates to these shocks our analysis indicates that oil supply shocks have no significant effects on exchange rates while global aggregate demand and oil specific demand shocks lead to depreciations we further show that exchange rates respond asymmetrically to shocks in the crude market depending on whether the shocks are large versus small or positive versus negative

bargaining in legislatures bargaining in legislatures is conducted according to formal rules specifying who may make proposals and how they will be decided legislative outcomes depend on those rules and on the structure of the legislature although the social choice literature provides theories about voting equilibria it does not endogenize the formation of the agenda on which the voting is based and rarely takes into account the institutional structure found in legislatures in our theory members of the legislature act noncooperatively in choosing strategies to serve their own districts explicitly taking into account the strategies members adopt in response to the sequential nature of proposal making and voting the model permits the characterization of a legislative equilibrium reflecting the structure of the legislature and also allows consideration of the choice of elements of that structure in a context in which the standard institution free model of social choice theory yields no equilibrium

the terms of trade between oil importers abstract an intertemporal model of opec and two large country oil importers is used to show that asymmetries between importers cause oil price changes to alter the terms of trade between them in systematic ways for example differences in oil dependence marginal propensities to save international debt positions factor substitutability trade in capital goods and wage setting behavior can all influence the final goods terms of trade between oil importers in predictable ways when oil prices change

oil prices inflation and interest rates in a structural cointegrated var model for the g 7 countries sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries moreover the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries in this paper a structural cointegrated var model has been considered for the g 7 countries in order to study the direct effects of oil price shocks on output and prices and the reaction of monetary variables to external shocks our results can be summarized as follows i a stationary money demand as suggested by the classic theory of money can be identified for most countries ii according to the estimated coefficients of the structural part of the model for all countries except japan and u k the null hypothesis of an influence of oil prices on the inflation rate cannot be rejected inflation rate shocks are transmitted to the real economy by increasing interest rates iii impulse response analysis suggests for most countries the existence of an instantaneous temporary effect of oil price innovations on prices iv impulse response functions indicate different monetary policy reactions to inflationary and growth shocks v the simulation exercises directed to estimate the total impact of the 1990 oil price shock indicate that for some countries u s a significant part of the effects of the oil price shock is due to the monetary policy reaction function for other countries canada france and italy however the total impact is offset at least in part by an easing of monetary conditions

oil prices and the rise and fall of the us real exchange rate abstract questions of the relative importance of real vs monetary shocks in explaining exchange rate movements still have no widely accepted answer despite their importance both for the research agenda and for policy questions we examine this issue using a variety of empirical techniques for the us effective exchange rate we find that a stable link exists between oil price shocks and the us real effective exchange rate over the post bretton woods period the results suggest that oil prices may have been the dominant source of persistent real exchange rate shocks and that energy prices may have important implications for future work on exchange rate behavior

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

oil price volatility financial institutions and economic growth abstract theory attributes finance with the ability to both promote growth and reduce output volatility and therefore increase energy security but evidence is mixed partly due to endogeneity effects for example financial institutions themselves might be a source of volatility as the events of 2008 suggest we address this endogeneity issue by using periods of extreme oil price volatility as a source of nearly exogenous volatility to study the effect of finance to do this we develop a quasi natural experiment and study the effect of the dramatic decline of oil prices in 2014 using a synthetic control methodology our hypothesis is that the ability of oil rich countries to mitigate the effects of this decline rested on the quality of their financial institutions we focus on 11 oil rich countries between 2006q1 and 2016q4 that had poor measures of financial development treatment group out of 20 such countries and synthetically create counterfactuals from the remaining control group with superior financial development we subject both to the oil price shock of 2014 and find evidence that better financial institutions do indeed reduce output volatility and mitigate its negative effect on growth in the year that showed a sustained decline in oil price to address any remaining potential endogeneity between oil prices and finance we use a cross sectionally augmented autoregressive distributed lag model with data on 30 oil producing countries over the period 1980 2016 and confirm that the effects of oil volatility on growth is mitigated with better financial institutions our results make a strong case for the support of the positive role of financial development in improving energy security and fostering growth

dynamic and directional network connectedness of crude oil and currencies evidence from implied volatility abstract we explore the dynamic and directional network connectedness between implied volatility measures of crude oil and the exchange rate of nine major currency pairs for a sample period from may 2007 to december 2016 we use the dynamic cholesky factor vector autoregression variance decomposition method to ascertain the net directional spillovers and to determine the direction of the transmission of shocks we employed the network graph connectedness method across a few select events characterized by the crude oil price volatility of 2008 09 and 2014 16 we found that the crude oil market has a dominant impact on the total connectedness of the crude oil currency implied volatility relationship suggesting that crude oil affects currencies more than currencies affect crude oil for the time frame of 2007 16 however during the crude oil crisis periods the dynamics are reversed with crude having more of an effect additionally the pairwise directional network connectedness between the currency pairs reveals that eurusd is more sensitive to the crude price fluctuation than other major currency pairs and is one major currency that passes idiosyncratic shocks to other currency pairs

oil price shocks and trade imbalances abstract this study aims to examine whether a large part of the variability of trade balances and their oil and non oil components is associated with oil price fluctuations the long run causality running from oil price to overall oil and non oil trade balances and their short run dynamics are investigated by applying the toda and yamamoto 1995 ty causality approach and generalized impulse response functions irfs respectively to the monthly data spanning from january 1999 to november 2011 three asian economies that represent three distinct characteristics in terms of oil are chosen and examined malaysia as an oil exporter singapore as an oil refinery and japan as an oil importer the stability of the causality is also checked and the estimated impulse responses across different periods are examined the results have implications for both policy makers and economic modeling of the impact of oil price shocks

the extreme value in crude oil and us dollar markets abstract this study constructs a flexible range based volatility model by considering extreme value information to explore the volatility and dependence structures between the oil price and the us dollar exchange rate an asset allocation strategy is implemented to evaluate the economic value and confirm the efficiency of this model the empirical results indicate that the use of extreme value information can not only enhance the explanatory power of volatility structures but also sort out the asymmetric volatility effect in the oil market besides investors can obtain extra benefits of between 72 and 713 annualized basis points by incorporating extreme value information into their asset allocation strategies less risk averse investors can generate higher benefits the empirical results have potentially important implications for asset allocation and risk management

victory or repudiation predicting winners in civil wars using international financial markets we develop a method to estimate which side will win a civil war using data from international financial markets the key insight we deliver is that for typical sovereign debt contracts the probability of debt repayment will equal the probability of victory in a civil war we test our predictor for standard outcomes in civil wars including when the incumbent government loses the chinese nationalists when a new government is installed by a foreign power and decides to repudiate debt the restoration of ferdinand vii of spain and when there is a secession the u s confederacy for china markets were predicting a communist victory three years before it happened for the u s markets never gave the south much more than a 40 percent chance of maintaining the confederacy for spain markets considered the restoration of ferdinand vii as likely probabilities above 50 as soon as france declared its intention to send military forces to the area

exchange rates of oil exporting countries and global oil price shocks a nonlinear smooth transition approach this paper models logistic and exponential smooth transition adjustments of real exchange rates for six major oil exporting countries in response to different shocks affecting oil prices the logis

is oil supply choked by financial market pressures abstract since the late 1990s financial analysts have focused strongly on short term profitability for benchmarking and valuation of international oil and gas companies the increasing pressure for strict capital discipline among oil and gas companies may have reduced their willingness to invest for future reserves and production growth the current high oil price is partly due to low exploration activity in the oil industry the last decade we present and discuss the background for this development based on previous academic research industry trends and current valuation practices an estimated econometric model of stock market valuation among oil and gas companies suggests that analysts and companies have put exaggerate weight on short term earnings and accounting profitability we therefore expect that the attention will shift back to long term reserve and production growth

predicting catastrophe risk evidence from catastrophe bond markets abstract compared to the past literature on prediction markets that uses small scale observational field data or experiments this present research examines the efficiency of such markets by studying catastrophe cat bonds we collect actual catastrophe loss data match them with the defined trigger events of each cat bond contract and then employ an empirical pricing framework to obtain the excess cat premiums in order to represent the market based forecasts our results indeed show that market based forecasts have more significant predictive content for future cat losses than professional forecasts that use natural catastrophe risk models although the predictive information for cat events is specialized and complex our evidence supports that cat bond markets are successful prediction markets that efficiently aggregate information about future cat losses our resultsalso highlight that actual cat losses in future periods can explain the excess cat bond spreads in the primary market and provide support for market efficiency when pricing cat risk

the impact of oil shocks on exchange rates a markov switching approach abstract this paper uses markov switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries this is an important topic to study because an oil shock can affect a country s terms of trade which can affect its competitiveness we detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks we find limited evidence that oil supply shocks affect exchange rates global economic demand shocks affect exchange rates in both oil exporting and importing countries though there is no systematic pattern of appreciating and depreciating real exchange rates the results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates

observing bailout expectations during a total eclipse of the sun abstract the literature has not reached a consensus yet regarding the existence of sovereign creditor moral hazard exploiting an exceptional historical example this paper proposes an original method to address this issue as the corona which is observable only during a total eclipse of the sun market specific prices of repudiated bonds are observable only when extreme conditions segment the markets such very rare events allow for isolating pure country specific bailout expectations the paper shows that bailouts do create creditor moral hazard based on an impulse response analysis the econometric results further emphasize the influence of bailout expectations in sovereign bonds valuation

oil price effects in theory and practice abstract the present paper contains an investigation of the international repercussions of oil price effects the analysis develops a theoretical model to study the effects of oil price changes on real income prices and international trade in a three region model dcs opec ldcs the comparative statics analysis indicates that oil price effects cannot be determined unambiguously unless information about structural parameters and policy reactions is also provided to estimate the quantitative effects of oil price changes the analysis relies on dynamic simulations of an econometrically estimated version of the theoretical model such a model is subject to a sensitivity analysis providing quantitative information about the international transmission of oil price effects

fossil fuel prices exchange rate and stock market a dynamic causality analysis on the european market abstract the article investigates causality between fossil fuel prices exchange rates and the german stock index dax the analysis is conducted dynamically with the use of rolling var methodology on the basis of weekly data from the period october 2001 june 2012 the results obtained show that the relationship between the variables changed over time depending on the level of volatility in financial markets

multifractal cross correlations between the world oil and other financial markets in 2012 2017 abstract statistical and multiscaling characteristics of wti crude oil futures prices expressed in us dollar in relation to the most traded currencies as well as to gold futures and to the e mini s p500 futures prices on 5 min intra day recordings in the period january 2012 december 2017 are studied it is shown that in most of the cases the tails of return distributions of the considered financial instruments follow the inverse cubic power law the only exception is the russian ruble for which the distribution tail is heavier and scales with the exponent close to 2 from the perspective of multiscaling the analysed time series reveal the multifractal organization with the left sided asymmetry of the corresponding singularity spectra even more all the considered financial instruments appear to be multifractally cross correlated with oil especially on the level of medium size fluctuations as the multifractal cross correlation analysis carried out by means of the multifractal cross correlation analysis mfcca and detrended cross correlation coefficient q show the degree of such cross correlations is however varying among the financial instruments the strongest ties to the oil characterize currencies of the oil extracting countries strength of this multifractal coupling appears to depend also on the oil market trend in the analysed time period the level of cross correlations systematically increases during the bear phase on the oil market and it saturates after the trend reversal in 1st half of 2016 the same methodology is also applied to identify possible causal relations between considered observables searching for some related asymmetry in the information flow mediating cross correlations indicates that it was the oil price that led the russian ruble over the time period here considered rather than vice versa

coalitional bargaining with competition to make offers abstract the paper analyzes a simple discrete time noncooperative coalitional bargaining game in which at each stage there is a contest for the right to make a proposal the pure stationary subgame perfect equilibrium payoff set is equal to the core journal of economic literature classification numbers 026

equilibrium political budget cycles political business cycle theories generally rely on nominal rigidities and voter myopia this paper offers an equilibrium theory that preserves some basic insights from earlier models though with significant refinements the political budget cycle emphasized here is in fiscal policy rather than output and inflation it arises via a multidimensional signal process one can consider the welfare implications of proposals to mitigate the cycle and the effects of altering the electoral structure copyright 1990 by american economic association

materials price increases and aggregate adjustment in an open economy a stochastic approach abstract this paper develops a stochastic macroequilibrium frameworks to analyze the differing implications of alternative types of input price disturbances the distinctions between expected and unexpected permanent and transitory nominal and real disturbances are considered the introduction of input disturbances involves a more elaborate modelling of the supply side of the economy both constant returns to scale and decreasing returns to scale technologies are considered the analysis highlights the sensitivity of the macroeconomic impacts of input price shocks to their specific type the analytical results obtained are not unambiguous and are supplemented with numerical simulations

oil price fluctuations and u s dollar exchange rates adding oil prices to the monetary model of exchange rates we find that oil prices significantly explain movements in the value of the u s dollar usd against major currencies from the 1970s to 2008 our long run and forecasting results are remarkably consistent with an oil exchange rate relationship increases in real oil prices lead to a significant depreciation of the usd against net oil exporter currencies such as canada mexico and russia on the other hand the currencies of oil importers such as japan depreciate relative to the usd when the real oil price goes up

nonlinear causality between crude oil price and exchange rate a comparative study of china and india while several studies have examined the linear causal relationship between oil prices and exchange rates little is known about the nonlinear causality between these two variables the present paper tries to fill this research gap in the context of india and china by applying the hiemstra and jones 1994 nonlinear granger causality test to the var residuals the study finds a significant bi directional nonlinear granger causality between oil prices and exchange rates in both countries the findings suggest that the nonlinearity of oil price influences the exchange rate irrespective of the exchange rate regimes further to check robustness the persistence in the variance of oil price and exchange rate is taken into account using a garch 1 1 model while the results consistently hold in the case of india with respect to china a unidirectional causality runs from exchange rate to oil price however the oil price in china does not granger cause exchange rate

disentangling the role of the exchange rate in oil related scenarios for the european stock market abstract the literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency this assumption implies merging commodity risk and exchange rate risk this article proposes to generate oil related scenario depending on the source of risk the same distress oil related scenario in euros could generate an opposite impact on the european stock market depending on the source of risk results show higher losses for eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in us dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the us dollar this framework can improve our understanding of how the exchange rate interacts in global markets also it contributes to the design of tailor made international scenarios for stress testing

does the u s economic policy uncertainty connect financial markets evidence from oil and commodity currencies abstract we provide novel insight to the emerging literature on the role of u s monetary policy as a driver of a global financial cycle by examining the possible causal effect of u s economic policy uncertainty on the connectedness of crude oil and currency markets using a sample of commodity currencies from advanced and emerging nations a battery of linear and nonlinear granger based causality tests indicate the presence of a causal relationship between economic policy uncertainty and the connectedness of oil and currency markets particularly at low frequencies and more significantly after the outburst of the global financial crisis while crude oil generally serves as a net transmitter of shocks to currencies across all frequency bands the spillover effects from oil are largely concentrated towards the g10 currencies of australian and new zealand dollar that are often used as investment currencies in global carry trade strategies overall our findings suggest the presence of a significant pass through effect of economic policy uncertainty via oil prices spilling over to the currency market in line with the emerging evidence that the monetary policy by the u s fed serves as a major driver of a global financial cycle that describes patterns in global capital flows credit activity and asset prices across financial markets

how do dynamic responses of exchange rates to oil price shocks co move from a time varying perspective abstract with globalization and financialization exchange rates could be sensitive to oil price shocks due to differences of exchange rate policy oil dependence status and other factors the responses of exchange rates to oil price shocks could be either similar or heterogeneous therefore in this paper we integrate a hybrid research framework to investigate the co movement of responses to oil price shocks of four major exchange rate of currencies included in the special drawing rights basket from january 2000 to september 2018 from a time varying aspect and considering the asymmetric effect of the oil price shocks the main results are as follows compared with the general oil price shocks unexpected oil price shocks could have greater influence on currency markets over time with the asymmetric effect happening only when extreme market situations and unexpected oil price shocks appear simultaneously pairwise exchange rates tend to move in either a negatively or a positively similar way rather than in an unrelated manner in 50 of the sampled market time the co movement situation of exchange rates response could be captured by specific small numbers of co movement modes with the euro us dollar usd and great british pound usd tending to co move in more stable manner and having the potential to serve as an early warning of risk while other pairwise exchange rates are characterized by time varying features

campaign contributions and access an important and pervasive view of campaign contributions is that they are given to promote access to successful candidates under circumstances when such access would not ordinarily be given in this story access is valuable as it offers groups the opportunity to influence legislative decisions through the provision of policy relevant information under complete information regarding donors policy preferences i argue that this model predicts a negative relationship between contributions and the extent to which the groups and the recipient legislators preferences are similar however one of the more robust empirical findings in the literature is that this relationship is positive relaxing the informational assumption on donors preferences i reexamine the access story with a model in which campaign contributions can act as signals of policy preference and the informational value of access to any agent is endogenous

oil prices exchange rates and emerging stock markets abstract while two different streams of literature exist investigating 1 the relationship between oil prices and emerging market stock prices and 2 the relationship between oil prices and exchange rates relatively little is known about the dynamic relationship between oil prices exchange rates and emerging market stock prices this paper proposes and estimates a structural vector autoregression model to investigate the dynamic relationship between these variables impulse responses are calculated in two ways standard and the recently developed projection based methods the model supports stylized facts in particular positive shocks to oil prices tend to depress emerging market stock prices and us dollar exchange rates in the short run the model also captures stylized facts regarding movements in oil prices a positive oil production shock lowers oil prices while a positive shock to real economic activity increases oil prices there is also evidence that increases in emerging market stock prices increase oil prices

bargaining foundations of the median voter theorem abstract we give a game theoretic foundation for the median voter theorem in a one dimensional bargaining model based on baron and ferejohn s d baron j ferejohn bargaining in legislatures amer polit sci rev 83 1989 1181 1206 model of distributive politics we prove that as the agents become arbitrarily patient the set of proposals that can be passed in any pure strategy subgame perfect equilibrium collapses to the median voter s ideal point while we leave the possibility of some delay we prove that the agents equilibrium continuation payoffs converge to the utility from the median so that delay if it occurs is inconsequential we do not impose stationarity or any other refinements our result counters intuition based on the folk theorem for repeated games and it contrasts with the known result for the distributive bargaining model that as agents become patient any division of the dollar can be supported as a subgame perfect equilibrium outcome

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

oil and us dollar exchange rate dependence a detrended cross correlation approach abstract this paper examines the relationship between oil prices and the us dollar exchange rate using detrended cross correlation analysis for a wide set of currencies in the periods before and since the onset of the recent global financial crisis we characterized the oil price exchange rate relationship at different time scales and documented two main findings first the cross correlation analysis indicated that oil price exchange rate correlations were negative and low having in general lower values for longer time scales second negative dependence between oil and the us dollar increased after the onset of the global financial crisis for all time scales thereby providing evidence of both contagion and interdependence this empirical evidence has important implications for monetary and fiscal policies asset management and risk assessment

oil price drivers geopolitical uncertainty and oil exporters currencies abstract empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time i use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time variation could reflect shifts in the key drivers of oil prices over time results suggest that demand and supply driven oil price increases strengthen these currencies to different extents in contrast heightened geopolitical uncertainty and associated oil price increases go together with a weakening of oil exporters currencies the latter result may explain coincidences of higher oil prices and a weakening of oil exporters currencies

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

volatility spillovers for energy prices a diagonal bekk approach abstract we examine the relationship between return and volatility as well as the covolatility spillover for energy foreign currency and stock markets using the diagonal bekk model using daily crude oil natural gas and the coal prices as proxies for energy prices the s p500 index as a proxy for the u s stock market and the eur usd exchange rate as a proxy for the exchange rate we find robust evidence for the volatility spillover effects among the three markets also in the 16 out of 20 pairwise relationships in the five markets there are significant negative covolatility spillover effects in the four pairs involving coal there are positive and significant covolatility spillover effects we conclude that the energy markets and the stock market have stronger covolatility spillovers than others

proposal power and majority rule in multilateral bargaining with costly recognition this paper studies a sequential bargaining model in which agents expend efforts to be the proposer in equilibrium agents effort choices are influenced by the prize and cost effects the endogenous prize is 9

on the relationship between the prices of oil and the precious metals revisiting with a multivariate regime switching decision tree this study examines the volatility and correlation and their relationships among the euro us dollar exchange rates the s p500 equity indices and the prices of wti crude oil and the precious metals gold silver and platinum over the period 2005 to 2012 our model links the univariate volatilities with the correlations via a hidden stochastic decision tree the ensuing hidden markov decision tree hmdt model is in fact an extension of the hidden markov model hmm introduced by jordan et al 1997 the architecture of this model is the opposite that of the classical deterministic approach based on a binary decision tree and it allows a probabilistic vision of the relationship between univariate volatility and correlation our results are categorized into three groups namely 1 exchange rates and oil 2 s p500 indices and 3 precious metals a switching dynamics is seen to characterize the volatilities while in the case of the correlations the series switch from one regime to another this movement touching a peak during the period of the subprime crisis in the us and again during the days following the tohoku earthquake in japan our findings show that the relationships between volatility and correlation are dependent upon the nature of the series considered sometimes corresponding to those found in econometric studies according to which correlation increases in bear markets at other times differing from them

non linearities in the dynamics of oil prices abstract examining stationarity is of particular importance and represents the first step in empirical time series research non stationarity invalidates many of the results obtained from standard techniques and therefore requires special treatment because oil prices play an important role in affecting economic variables this paper examines the stationarity of real oil prices brent dubai wti and the world over the period 1973 2 2011 2 real oil prices are expressed in the currencies of seven asian countries indonesia japan korea malaysia the philippines singapore and thailand and in the u s dollar while using linear unit root tests without structural breaks shows no evidence of stationarity allowing for breaks shows very limited evidence of stationarity we argue that these results are attributed to the presence of nonlinearities in the behavior of oil prices testing for nonlinearity shows significant evidence of nonlinearity in all the cases with evidence of exponential smooth transition autoregression estar nonlinearity type in most cases applying unit root tests that account for two types of nonlinearities smooth transition and nonlinear deterministic trends reveals evidence of stationarity in all the cases

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

global economic activity crude oil price and production stock market behaviour and the nigeria us exchange rate abstract this paper investigates the dynamic relationship among oil price nigeria us exchange rate stock market activity kilian s global economic activity index and global oil production we develop a robust stable single equation error correction model where the exchange rate solely bears the burden of short run adjustments with causal influences from the rest of the variables included in the model we find a role for asymmetry in the long run confirming the presence of equilibrium path adjustment asymmetry and suggesting that the positive and negative variations must be accounted for in designing the policymaking process to enforce stable exchange rate movement by comparing the linear and nonlinear models we find that the two models are complementary and that each is horizon bound in its forecasting ability

simultaneous model of innovation secrecy and patent policy multiple innovators can and do come up with the same invention independently a famous case is the telephone two hours after alexander graham bell filed a patent application for it another application for the same invention arrived at the patent office many scholars such as ilkka rahnasto 2003 and hal r varian et al 2004 argue that since bell s time simultaneous innovation has become increasingly common we feel and our discussions with industry practitioners confirm that the simultaneous model of innovation characterizes especially network industries such as consumer electronics the internet software telecommunications and payment systems where standardization limits the possible paths for future technologies and so firms concentrate their r d activities on the same fields we suggest that simultaneous or independent invention has major implications for intellectual property ip policy in particular the possibility of simultaneous innovation changes the patenting decision firms tap patents for a defensive purpose since the choice is no longer between patenting or resorting to trade secrecy but between patenting or letting competitors patent by exploiting the vulnerability of innovative firms to rival innovation it is possible to design a welfareimproving patent system that induces innovators to patent rather than keep their innovations secret taking the simultaneous nature of innovation seriously also changes the way one should think about the relationship between ip and competition policies

partisan cycles in congressional elections and the macroeconomy in the postwar united states the president s party has always done worse in the midterm congressional elections than in the previous congressional election republican administrations exhibit below average and democratic administrations above average economic growth in the first half of each term whereas in the latter halves the two see equal growth our rational expectations model is consistent with these two regularities in presidential elections voters choose between two polarized candidates they then use midterm elections to counterbalance the president s policies by strengthening the opposition in congress since presidents of different parties are associated with different policies our model predicts a spurious correlation between the state of the economy and elections our predictions contrast with those of retrospective voting models in which voters reward the incumbent if the economy is doing well before the election our model performs empirically at least as well as and often better than alternative models

is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters although the link between oil prices and dollar exchange rates has been frequently analyzed a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided in addition previous studies have mostly neglected nonlinearities which for example may stem from exogenous oil price shocks using monthly data for various oil exporting and oil importing countries this study contributes to the clarification of those issues we discriminate between long run and time varying short run dynamics using a markov switching vector error correction model in terms of causality the results differ between the economies under observation but suggest that the most important causality runs from exchange rates to oil prices with a depreciation of the dollar triggering an increase in oil prices on the other hand changes in nominal oil prices are responsible for ambiguous real exchange rate effects mostly through the price differential and partly also through a direct influence on the nominal exchange rate overall the fact that the adjustment pattern frequently differs between regimes underlines the fact that the relationships are subject to changes over time suggesting that nonlinearities are an important issue when analyzing oil prices and exchange rates

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

partisan impacts on the economy evidence from prediction markets and close elections analyses of the effects of election outcomes on the economy have been hampered by the problem that economic outcomes also influence elections we sidestep these problems by analyzing movements in economic indicators caused by clearly exogenous changes in expectations about the likely winner during election day analyzing high frequency financial fluctuations following the release of flawed exit poll data on election day 2004 and then during the vote count we find that markets anticipated higher equity prices interest rates and oil prices and a stronger dollar under a george w bush presidency than under john kerry a similar republican democrat differential was also observed for the 2000 bush gore contest prediction market based analyses of all presidential elections since 1880 also reveal a similar pattern of partisan impacts suggesting that electing a republican president raises equity valuations by 2 3 percent and that since ronald reagan republican presidents have tended to raise bond yields

does euro or dollar pegging impact the real exchange rate the case of oil and commodity currencies the aim of this paper is to investigate the equilibrium exchange rates for commodity and oil currencies as well as the discrepancies of their observed exchange rates to these equilibriums to this end first we estimate a long term relationship between the real effective exchange rate and economic fundamentals including the commodity terms of trade the estimation relies on panel cointegration techniques and covers annual data from 1980 to 2007 our results show that real exchange rates co move with commodity prices in the long run and respond to oil price somewhat less than to commodity prices second we assess the degree of misalignment of these currencies as the gap between their observed exchange rate and the estimated equilibrium exchange rate we show that these misalignments are not significantly related to the exchange rate regimes adopted by the countries either pegged or floating however for pegged currencies the size of misalignments significantly depends on the anchor currency either the euro or the dollar a comparison of misalignments of pegged commodity and oil currencies across different periods confirms these results during periods of dollar euro overvaluation currencies pegged to the dollar euro tend to be overvalued the reverse being true when the dollar euro is undervalued consequently pegged currencies are often driven away from their equilibria by wild fluctuations in the key currencies on which they are anchored

exchange rate fluctuations and stability in the oil market abstract this paper attempts to assess the impact of exchange rate fluctuations on the ability of opec to stabilize the oil market since oil prices are denominated in us dollars changes in the exchange rate parity influence the cost of imported oil of major european countries and japan which in turn influences the demand for oil and eventually demand for opec oil these variations become important factors for the stability of the market when opec output is at either maximum or minimum limits of the organization s production capacity

dynamic free riding with irreversible investments we study the markov equilibria of a model of free riding in which n infinitely lived agents choose between private consumption and irreversible contributions to a durable public good we show that the set of equilibrium steady states converges to a unique point as depreciation converges to zero for any level of depreciation moreover the highest steady state converges to the efficient level as agents become increasingly patient these results are in contrast to the case with reversible investments where a continuum of inefficient equilibrium steady states exists for any level of depreciation discount factor and size of population

oil prices and exchange rates the quotations show a sharply divergent pattern in the response of the foreign exchange market to announcements of oil price increases during the first oil shock news about oil price rises led to a strengthening of the dollar whereas during the i979 surge of oil prices the reverse was generally true when the news was not so bad as feared the dollar fell back in i974 but rose in i979 in 1980 the pattern shifted once again back to dollar appreciation is there a rational fundamental explanation for the behaviour of the foreign exchange market or is it a matter of traders responding to what other traders arbitrarily think it is difficult to resolve this question but some insight can be provided through an analytical examination of the relationship between oil price increases and exchange rates the paper begins with a theoretical framework for analysing the relation between oil prices and exchange rates and then uses the theory to explain the behaviour of the foreign exchange market

a theory of competition among pressure groups for political influence this paper presents a theory of competition among pressure groups for political influence political equilibrium depends on the efficiency of each group in producing pressure the effect of additional pressure on their influence the number of persons in different groups and the deadweight cost of taxes and subsidies an increase in deadweight costs discourages pressure by subsidized groups and encourages pressure by taxpayers this analysis unifies the view that governments correct market failures with the view that they favor the politically powerful both are produced by the competition for political favors

historical presidential betting markets this paper analyzes the large and often well organized markets for betting on u s presidential elections that operated between 1868 and 1940 four main points are addressed first we show that the market did a remarkable job forecasting elections in an era before scientific polling second the market was fairly efficient despite the limited information of participants and active attempts to manipulate the odds third we argue political betting markets disappeared largely because of the rise of scientific polls and the increasing availability of other forms of gambling finally we discuss lessons this experience provides for the present

the us dollar and the world oil market abstract due to the increasing value of the dollar world oil prices rose rather than fell relative to the price of oecd exports between 1980 and 1984 the real crude oil price of oecd countries increased by approximately 30 more than its counterpart for the usa this paper calculates that if oecd oil prices had not risen but followed the trend for us prices world oil demand in 1984 would have been about 3 million barrels per day 6 6 higher than otherwise two plausible scenarios which assume the same nominal oil price us inflation rate and oecd growth rate but different values for the dollar are considered world oil consumption by 1990 could vary by 4 million barrels per day depending upon shifts in the exchange rates and the value of the dollar this variation is comparable to the range associated with significant differences in the economic growth rate between now and 1990 the paper shows that shifts in exchange rates could produce changes in oil prices in 1990 comparable to the effects of gradually removing 5 million barrels per day from total oil production by 1990

diamonds are forever wars are not is conflict bad for private firms this paper studies the relationship between civil war and the value of firms in a poor resource abundant country using microeconomic data for angola we focus on diamond mining firms and conduct an event study on the sudden end of the conflict marked by the death of the rebel movement leader in 2002 we find that the stock market perceived this event as bad news rather than good news for companies holding concessions in angola as their abnormal returns declined by 4 percentage points the event had no effect on a control portfolio of otherwise similar diamond mining companies this finding is corroborated by other events and by the adoption of alternative methodologies we interpret our findings in light of conflict generated entry barriers government bargaining power and transparency in the licensing process jel d74 g32 o13 o17 q34

dynamic legislative decision making when interest groups control the agenda we consider dynamic decision making in a legislature in which in each period legislators vote between the status quo previous period s policy and a new bill however the agenda formation process is captured by interest groups that is the new bill on the agenda is determined by an all pay auction among these groups we show that convergence to the median voter of the legislature arises if interest groups are patient enough but not necessarily otherwise we characterize the bound on the speed of convergence in a family of stationary equilibria in which policy bounces between right wing and left wing policies we also show that convergence may be faster if organized interest groups represent only one side of the policy space e g when only business and not consumer interests are organized

the influence of the international oil prices on the real effective exchange rate in romania in a wavelet transform framework article i nfo the purpose of this paper is to assess the empirical influence of oil prices on the real effective exchange rate in romania in a wavelet transform framework more precisely we investigate to what extent oil prices impact the real effective exchange rate in an eastern european transition country characterised by a low level of retail fuel prices and by an important growth rate of these prices as compared to the other eu countries for this purpose we use a discrete wavelet transform approach and scale by scale granger causality tests we find that oil prices have a strong influence on the real effective exchange rate in the short run but also for large time horizons these results are important considering the fact that in a classical granger causality linear framework for the entire sample we find that oil prices have no influence on the real effective exchange rate the findings remainrobust whenresampling the initial 1986 2009period orwhen weuse analternative continuous wavelet transform in addition we discover that mainly the positive shocks associated with an increase in oil prices have an impact upon the real effective exchange rate movements in the short and long runs

who is afraid of political instability abstract an unstable macroeconomic environment is often regarded as detrimental to economic growth among the sources contributing to such instability much of the blame has been assigned to political issues this paper empirically tests for a causal and negative long run relation between political instability and economic growth but finds no evidence of such a relationship sensitivity analysis indicates that there is a contemporaneous negative relationship but also that in the long run and ignoring institutional factors the group of african countries plays the determining role

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

the effects of oil price shocks on asian exchange rates evidence from quantile regression analysis abstract this paper investigates the effects of oil price shocks on asian exchange rates we employ quantile regression analysis and allow for structural breaks and asymmetry our results indicate that positive and negative oil price shocks have asymmetrical effects on exchange rate returns that vary in significance size and sign throughout the distribution of exchange rate returns the impact of oil price shocks is also affected by market conditions bearish and bullish currency markets during bullish markets in domestic currencies at lower quantiles of currency movements in terms of u s dollar exchange rates rising oil prices cause further appreciation for indonesia korea the philippines and thailand currencies during bearish markets in the domestic currencies at higher quantiles of exchange rate movements in terms of u s dollar exchange rates rising falling oil price causes further currency depreciation for indonesia malaysia thus currencies respond differently to oil price shocks under extreme bullish or bearish currency market conditions and the impact of rising or falling oil prices on foreign exchange markets can vary by country and market conditions

oil currencies in the face of oil shocks what can be learned from time varying specifications abstractwhile the oil currency property is clearly established from a theoretical viewpoint its existence is less clear cut in the empirical literature we investigate the reasons for this apparent puzzle by studying the time varying nature of the relationship between real effective exchange rates of five oil exporters and the real price of oil in the aftermath of the oil price shocks of the last two decades accordingly we rely on a time varying parameter var specification which allows the responses of real exchange rates to different oil price shocks to evolve over time we find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time in addition to structural changes affecting oil countries structural changes arising from the oil market itself through the various time varying sour

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