Time-varying causality

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Dynamic Connectedness and Causality between Oil prices and Exchange Rates

We study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets....

Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study

We study the relation between oil prices and stock market returns for a set of six countries, including important oil consumers and demanders. We study interconnectedness between oil and stock markets and characterize the dynamics of transmission and reception between them. We test for Granger...

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