Fossil fuel prices, exchange rate, and stock market: A dynamic causality analysis on the European market

Sławomir Śmiech () and Monika Papież ()

Economics Letters, 2013, vol. 118, issue 1, 199-202

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.

Keywords: Exchange rate; Fossil fuel prices; Rolling regression; Stock market; Toda–Yamamoto procedure (search for similar items in EconPapers)
JEL-codes: G15 Q43 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:199-202

DOI: 10.1016/j.econlet.2012.10.010

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