Oil prices and the financial crisis

Review of Managerial Science

Volumn 6, Issue 3, 2012, Pages 227-238

  Bencivenga, Cristina ^a   D'Ecclesia, Rita L ^a   Triulzi, Umberto ^a  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Financial crisis; Oil price volatility; Speculation; VECM

Indexed keywords

EID: 84863334128     PISSN: 18636683     EISSN: 18636691     Source Type: Journal    
DOI: 10.1007/s11846-012-0083-z     Document Type: Article

References (30)

1. Amano RA, Norden S (1998) Exchange rates and oil prices. Rev Int Econ 6(4): 683-694.
2. Amano RA, Norden S (1998) Oil prices and the rise and fall of the US real exchange rate. J Int Money Finance 17(2): 299-316.
3. Bai J, Perron P (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66(1): 47-78.
4. Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Econ 18(1): 1-22.
5. Bencivenga C, Sargenti G, D'Ecclesia RL (2011) Integration of energy commodity markets: the case of Europe and US. J Risk Manag Financ Inst 4: 301-313.
6. Chen SS, Chen HC (2007) Oil prices and real exchange rates. Energy Econ 29(3): 390-404.
7. Chen Y, Rogoff K, Rossi B (2008) Can exchange rates forecast commodity prices? Working paper, Hardward University.
8. Chevillon G, Rifflart C (2007) Physical market determinants of the price of crude oil and the market premium. ESSEC, Paris.
9. Cuaresma JC, Breitenfellner A (2008) Crude oil and the Euro-Dollar exchange rate: a forecasting exercise. Monet Policy Econ 4: 102-121.
10. Diba B, Grossman H (1984) Rational bubbles in the price of gold. National Bureau of Economic Research working paper series, vol w1300.
11. Engle RF, Granger CWJ (1987) Co-integration and error correction: representation, estimation, and testing. Econometrica 55(2): 251-276.
12. Geman H (2005) Commodity and commodity derivatives. Wiley Finance, New York.
13. Hamilton JD (2009a) Understanding crude oil prices. Energy J 30(2): 179-206.
14. Hamilton JD (2009b) Causes and consequences of the oil shock of 2007-2008. Brookings papers on Economic Activity, Spring, pp 215-259.
15. Johansen S (1988) Statistical analysis of cointegration vectors. J Econ Dyn Control 12: 231-254.
16. Johansen S (1994) The role of constant and linear terms in cointegration of nonstationary variables. Econ Rev 13: 205-209.
17. Johansen S (1995) Likelihood-based Inference in cointegrated vector autoregressive models. Oxford University Press, Oxford.
18. Johansen S (2005) Interpretation of cointegrating coefficients in the cointegrated vector autoregressive model. Oxford Bull Econ Stat 67(1).
19. Kaufmann RK, Ullman B (2009) Oil prices, speculation and fundamentals: interpreting causal relationship among spot and futures prices. Energy Econ 31(4): 550-558.
20. Krugman P (2008) The oil nonbubble. The New York Times Opinion.
21. Malliaris AG, Malliaris M (2009) Time series and neural networks comparison on gold, oil and the euro. International joint conference on neural networks (IJCNN), 1961-1967.
22. Mu X, Ye H (2011) Understanding the crude oil price: how important is the China factor? Energy J 32(4): 69-92.
23. Ng S, Perron P (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 69(6): 1519-1554.
24. Roubini N (2009) Big crash coming. http://finance. yahoo. com/news.
25. Rubin J (2009) Oil prices caused the current recession. http://www. oil-price. net.
26. Schulmeister S (2000) Globalization without global money: the double role of the dollar as national corrency and as world currency and its consequences. J Post Keneysian Econ 22: 365-395.
27. Soros G (2008) Rocketing oil price is a bubble. http://www. telegraph. co. uk/finance.
28. Stevans LK, Sessions DN (2008) Speculation, futures prices and the US real price of crude oil. Economics working paper. Christian-Albrechts-University, Kiel.
29. Stock JH, Watson MW (1988) Testing for common trends. J Am Stat Assoc 83: 1097-1107.
30. Wang ML, Wang CP, Huang TY (2010) Relationships among oil price, gold price, exchange rate and international stock market. Int Res J Finance Econ 47: 80-89.