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2018 | nr 6 | 671--708
Tytuł artykułu

Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego

Treść / Zawartość
Warianty tytułu
The Nexus between Oil Prices and the US Dollar
Języki publikacji
Ceny ropy naftowej i kurs dolara amerykańskiego są ujemnie skorelowane, lecz zależność ta nie jest stabilna w czasie. Wykorzystując dwustopniową procedurę, w niniejszej pracy wyodrębniam zmienną w czasie korelację pomiędzy cenami ropy naftowej a kursem dolara amerykańskiego na podstawie modelu DCC, a następnie analizuję jej determinanty przez pryzmat bayesowskiego modelu SVAR. Wyniki przeprowadzonych analiz wskazują, że ujemna korelacja pomiędzy badanymi zmiennymi nasilała się w okresie poprzedzającym globalny kryzys finansowy oraz w jego trakcie, natomiast w dobie rewolucji łupkowej znacznie osłabła. Przyczynił się do tego zmniejszający się udział deficytu bilansu obrotów bieżących w handlu produktami naftowymi w PKB Stanów Zjednoczonych, wysoki poziom produkcji i zapasów ropy naftowej w Stanach Zjednoczonych oraz relatywnie niski poziom awersji do ryzyka. Ponowny wzrost niepewności wraz ze spadkiem zapasów spowodował umocnienie się ujemnej zależności pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego w pierwszej połowie 2018 r. (abstrakt oryginalny)
Oil prices and the US dollar are negatively correlated. However, the strength of this link is time-varying which sparks the debate on the changing dependence between the prices of both assets as well as its determinants. By utilizing a two-step procedure in this paper I firstly estimate time-varying correlation between the prices of oil and the US dollar based on a DCC model. In the second step I establish the determinants of the evolving oil-dollar nexus through the lens of a structural VAR model estimated in a Bayesian fashion. The results show that the negative link between oil prices and the US dollar has been strengthening before the outburst of the global financial crisis and during the global recession. On the other hand, in the wake of the shale revolution the strength of this link has weakened, primarily due to the decreasing share of the US trade balance of petroleum products in the current US GDP, high level of oil production and stocks in the US and a relatively low level of global risk aversion. A considerable increase in global risk aversion in February 2018 as well as a drop in oil stocks have propelled a substantial rise in the negative dependence between oil prices and the US exchange rate. (original abstract)
Opis fizyczny
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