Title :
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
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;
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
DOI :
10.1109/CSO.2010.41
