Since 2014
Oil prices and the US effective exchange rate: A hidden cointegration analysis
Economics and Business Letters
View Archive Info| Field | Value | |
| Title |
Oil prices and the US effective exchange rate: A hidden cointegration analysis
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| Creator |
Rafailidis, Panagiotis
Katrakilidis, Constantinos |
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| Description |
AbstractWe investigate the long-run relationship between the US Dollar effective exchange and the oil prices (wti) over the period from January 1986 to August 2014. We allow for the relationship to be nonlinear by employing the hidden cointegration technique of Granger and Yoon (2002) and Schorderet (2004). The Quandt – Andrews approach allows accounting for structural breaks. The results reveal a long-run relationship between the two markets.
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| Publisher |
Oviedo University Press
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| Contributor |
—
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| Date |
2016-10-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.unioviedo.es/reunido/index.php/EBL/article/view/11250
10.17811/ebl.5.4.2016.134-144 |
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| Source |
Economics and Business Letters; Vol 5, No 4 (2016): December - Special Issue Selected papers from 2nd AMEF (May 2016); 134-144
Economics and Business Letters; Vol 5, No 4 (2016): December - Special Issue Selected papers from 2nd AMEF (May 2016); 134-144 2254-4380 10.17811/ebl.5.4.2016 |
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| Language |
eng
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| Relation |
http://www.unioviedo.es/reunido/index.php/EBL/article/view/11250/10707
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| Rights |
Copyright (c) 2016 Economics and Business Letters
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