A fractional cointegration var analysis of exchange rate dynamics

Gil-Alana, Luís A.; Cárcel, Héctor

doi:10.1016/j.najef.2018.09.006

Cited by 34 publications

(23 citation statements)

References 61 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Equation ( 4 ) is built to underscore the key role d also plays in the calculation of the degree of persistence in the series as it describes the amount of dependence of the series (Gil-Alana and Carcel 2020 ). Consequently, the higher the value d , the higher will be the level of dependence between observations in the series and consequently a higher degree of persistence.…”

Section: Methodsmentioning

confidence: 99%

The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach

Usman¹,

Akadırı²

2021

Environ Sci Pollut Res

View full text Add to dashboard Cite

In this paper, the behavior of precious metals and oil is examined using a fractionally integrated and cointegrated modeling approach. Using daily data from January 2015 to December 2020 and using both endogenous and exogenous structural breaks, we examine the behavior of the related series before and during the COVID-19 pandemic with the aim of investigating whether the degree of persistence has changed since the onset of COVID-19. We found that precious metals and oil exhibit long memory and are mean reverting regardless of the sample considered as the fractional parameter d < 0.5. However, when structural breaks are taken into consideration, an increase in persistence is found during the COVID-19 as compared to the period before it. In addition, the fractionally cointegrated vector autoregressive (FCVAR) model of Johansen and Nielsen ( 2010 , 2012 ) is used to examine the existence of long-run relationship among precious metals and oil price. We find the integrated parameters at d < 0.5 for all samples except for the pre-COVID-19 sample. This highlights that the FCVAR is a better fit for the full sample and the COVID-19 and the COVID-19 pandemic period sub-samples, as the fractional parameter is d < 0.5 while the CVAR model is better fit for the pre-COVID-19 period where d > 0.5. Both cointegration techniques alongside the parameter stability tests lend support to the existence of a persistence and stable long-run relationships among the series irrespective of the sample period considered. Attendant policy recommendations for investors and policymakers are recommended.

show abstract

Section: Methodsmentioning

confidence: 99%

The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach

Usman¹,

Akadırı²

2021

Environ Sci Pollut Res

View full text Add to dashboard Cite

show abstract

“…The asymptotic analysis in Johansen and Nielsen (2012) shows that the maximum likelihood estimators of (𝑑, 𝛼, Γ, … , Γ 2 ) are asymptotically normal, while the maximum likelihood estimator of (𝛽, 𝜌) is asymptotically mixed normal when 𝑑 0 < 1/2 and asymptotically normal when 𝑑 0 > 1/2. FCVAR models have recently been estimated in numerous empirical papers (Baruník and Dvořáková, 2015;Maciel, 2017;Aye et al, 2017;Dolatabadi et al, 2018;Jones, Nielsen and Popiel, 2014;Gil-Alana and Carcel, 2020;Poza and Monge, 2020;etc.). Nielsen and Popiel (2018) provide Matlab computer programs for the calculation of estimators and test statistics.…”

Section: Fractional Cointegration (Fcvar) Modelmentioning

confidence: 99%

Terrorism and the behavior of oil production and prices in OPEC

Monge

Cristóbal

2021

Resources Policy

View full text Add to dashboard Cite

This paper contributes to the discussion of the role that terrorism plays in oil production and oil prices literature by studying the dynamics of terrorist attacks and oil production in OPEC. To this purpose, we use techniques based on fractional integration, fractional cointegration VAR (FCVAR) and wavelet analysis. Monthly data related to OPEC oil production, OPEC basket crude oil prices and terrorist attacks from January 1970 to December 2018 are used. The results, using fractional integration and cointegration techniques, indicate that the time series analyzed are highly persistent and there are no long-term deviations. Finally, using wavelet analysis, we conclude that the impact of the terrorist attacks in oil production and oil prices are non-significant and has a short-term component, recovering the original trend values between 1 and 10 months after the terrorist shock.

show abstract

“…Matlab computer programs, provided by Nielsen and Popiel (2018) for the calculation of estimators and test statistics in the FCVAR model, have been employed in numerous empirical papers (Baruník and Dvořáková, 2015;Maciel, 2017;Aye et al, 2017;Dolatabadi et al, 2018;Jones, Nielsen and Popiel, 2018;Gil-Alana and Carcel, 2018;etc. ).…”

Section: Fractional Cointegrated Varmentioning

confidence: 99%

Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis

Monge

Gil-Alana

2021

Resources Policy

Self Cite

View full text Add to dashboard Cite

This paper analyzes the dynamics of U.S. lithium mining companies, the lithium industry and West Texas Intermediate (WTI) crude oil prices using a Fractional Cointegration Vector AutoRegressive model (FCVAR model) and a Continuous Wavelet Transform (CWT) for its resolution. The results indicate evidence of a negative relationship between FMC Corp with Albermale and SQM stock prices. These results are similar if we analyze the risk based on the beta term structure of each company. Analyzing the fractional differencing parameter for the stock prices and their logs, we observe that they are very persistent, and there are no long-term deviations in the stock prices. The same happens when analyzing the beta term structure. Based on Continuous Wavelet Transform (CWT) methods, our results show that lithium mining companies and the lithium industry are weakly correlated with WTI crude oil prices at higher frequencies (short-run) and persist through the sample period. At lower frequencies (long-term) the time series reached a high level of dependence between late 2012 to mid 2016, concluding that the lithium mining companies and the lithium industry reflect and foreshadow the responsiveness of the WTI crude oil prices during the period mentioned above.

show abstract

A fractional cointegration var analysis of exchange rate dynamics

Cited by 34 publications

References 61 publications

The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach

The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach

Terrorism and the behavior of oil production and prices in OPEC

Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis

Contact Info

Product

Resources

About