A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars

Author

Sun, Wei ; Qi, Zhongying ; Jia, Niannian

Author_Institution

Sch. of Manage., Harbin Eng. Univ., Harbin, China

Volume

2

fYear

2010

fDate

28-31 May 2010

Firstpage

225

Lastpage

229

Abstract

In order to compare the difference in the transmission of positive and negative oil shocks on US dollar, a time-varying structural VAR model with oil shocks and US dollar exchange rates is proposed in this paper. By extending the basic time-varying structural VAR model, two structure orthogonal oil shocks can be gained by changing the time-varying state space matrix. Then, the net effects of positive and negative oil shocks are calculated by an accumulated contribution model and the rolling regression. Finally, the corresponding reasons for the conclusions are presented.

Keywords

exchange rates; matrix algebra; petroleum industry; US dollar exchange rate; negative oil shocks; positive oil shocks; time-varying state space matrix; time-varying structural VAR method; Conference management; Electric shock; Electronic mail; Engineering management; Exchange rates; Optimization methods; Petroleum; Reactive power; Sun; Technology management; exchange rate; oil shocks; time-varying structural VAR;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Science and Optimization (CSO), 2010 Third International Joint Conference on

Conference_Location

Huangshan, Anhui

Print_ISBN

978-1-4244-6812-6

Electronic_ISBN

978-1-4244-6813-3

Type

conf

DOI

10.1109/CSO.2010.41

Filename

5533039