Commodity prices, interest rates and the dollar

Akram, Q. Farooq

doi:10.1016/j.eneco.2009.05.016

Cited by 461 publications

(268 citation statements)

References 24 publications

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“…Exchange rate forecasting models that include oil, tend to outperform those without oil. Akram (2009) estimates a structural VAR on quarterly data of OECD industrial production, real US short-term interest rates, the real trade weighted US dollar exchange rate, and commodity prices (one of which is oil). He finds that a dollar depreciation is associated with higher commodity prices.…”

Section: Theoretical Considerations and Literature Reviewmentioning

confidence: 99%

“…Comovement is found to be weak, especially among oil-importing countries, but has generally increased after the global financial crisis from mid-2008, a break date associated with the global economic recession. On the other hand, Akram (2009) applies a structural VAR model and finds instead that a weaker (real) US dollar leads to higher real oil prices in the period 1990 to 2007. Fratzscher et al (2014) also employ a structural VAR that includes the effective US dollar exchange rate along with a measure of options exchange market volatility and a proxy for the financialisation of the oil market.…”

Section: Introductionmentioning

confidence: 99%

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The impact of oil shocks on exchange rates: A Markov-switching approach

2016

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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.JEL Classification: F31, G15, Q43

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Section: Theoretical Considerations and Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The impact of oil shocks on exchange rates: A Markov-switching approach

2016

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“…), whose prices may increase due to the shift in demand (Tilton et al, 2011). However, whether prices of other assets will eventually increase depends on the strength of the substitution relative to the income effect (Akram, 2009). The latter stems from an increase in real investment expenditure due to the initial price increase, thus making commodity investors to reduce the demand for all assets.…”

Section: Return Spilloversmentioning

confidence: 99%

“…To this end, the VIX volatility index could be use to capture periods of stress and, hence, should simultaneously impact on return and volatility spillovers. In addition, interest rate is vindicated as a crucial driver of comovement between commodity prices (Akram, 2009;Byrne et al, 2013) and -5.5700 (-4.8000 and -5.0800) under the presence of an endogenous break in the constant (CONST) and in both the constant and the trend (TREND), respectively. The ZA test comprises a constant and a trend, while allowing for a single endogenous break in the constant (CONST) and in both the constant and the trend (TREND).…”

Section: Summary and Concluding Remarksmentioning

confidence: 99%

Dynamic spillovers between commodity and currency markets

Antonakakis

Kizys

2015

International Review of Financial Analysis

212

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In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers to the remaining assets in our model. Third, the analysis of dynamic spillovers shows time-and event-specific patterns. For instance, the dynamic spillover effects originating in gold and silver (platinum) returns and volatility intensified (degraded) in the period marked by the global financial crisis. After the global financial crisis, the net transmitting role of gold and silver (platinum) returns shocks weakened (strengthened), while the net transmitting role of gold, silver and platinum volatility shocks remained relatively high. Overall, our findings reveal that, while the static analysis clearly classifies the aforementioned variables into net transmitters and net receivers, the dynamic analysis denotes episodes wherein the role of transmitters and receivers of return (volatility) spillovers can be interrupted or even reversed. Hence, even if certain commonalities prevail in each identified category of commodities, such commonalities are time-and event-dependent.

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“…Interest rate and commodity price Hotelling (1931) states that increase in commodity prices should be equal to the interest rate. In this line of study, Akram (2009) presents a basic relation between commodity prices and interest rates:…”

Section: Commodity Prices Interest Rates and Inventoriesmentioning

confidence: 99%