Real Exchange Rates, Oil Price Spillover Effects, and Tripolarity

Kębłowski, Piotr; Leszkiewicz-Kędzior, Katarzyna; Welfe, Aleksander

doi:10.1080/00128775.2020.1753212

Cited by 6 publications

(2 citation statements)

References 56 publications

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“…An association between an increase in the USD/EUR exchange rate and a rising oil price also needs to be noted (Kębłowski et al 2020). There are two explanations for it.…”

Section: Hypotheses On Gas Price Formation Mechanismmentioning

confidence: 99%

A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

Moenke

Welfe

2022

Jahrbücher Für Nationalökonomie Und Statistik

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Presented analysis of gas price formation mechanism in Germany was prompted by changes brought about by technological advancements and the liberalization and harmonization of natural gas markets in the European Union after the year 2000. Because the data used in the study is generated by nonstationary stochastic processes, the cointegrated vector autoregressive model was applied as the most appropriate. The analysis pointed out that the price of natural gas, oil and the USD/EUR exchange rate influence each other in the long run and thus should be modelled together. Gas price in Germany is driven by both fundamental and financial factors, and so it rises with economic expansion, oil price increases, and the depreciation of the USD. It also reacts to changes in short-term interest rates and the volume of gas production in the US, which confirms that the shale revolution in this country has been consequential for gas prices in Europe, like any other supply shock would have been.

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“…An association between an increase in the USD/EUR exchange rate and a rising oil price also needs to be noted (Kębłowski et al 2020). There are two explanations for it.…”

Section: Hypotheses On Gas Price Formation Mechanismmentioning

confidence: 99%

A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

Moenke

Welfe

2022

Jahrbücher Für Nationalökonomie Und Statistik

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“…It is important to stress that our attention is focused on pure time-series specifications for daily data, without applying any extra variables suggested by economic or financial theory. The fundamentals of exchange rate modeling are explained in Kębłowski et al (2020), where the classical VEC model with constant conditional covariance matrix is used for monthly data spanning a period from January 2000 to June 2017.…”

Section: Introductionmentioning

confidence: 99%

Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships

Pajor

Wróblewska

2022

Eurasian Econ Rev

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The paper is focused on comparing the forecasting performance of two relatively new types of Vector Error Correction - Multiplicative Stochastic Factor (VEC-MSF) specifications: VEC-MSF with constant conditional correlations, and VEC-MSF-SBEKK with time-varying conditional correlations. For the sake of comparison, random walks, vector autoregressions (VAR) with constant conditional covariance matrix, and VAR-SBEKK models are also considered. Based on daily quotations on three exchange rates: PLN/EUR, PLN/USD, and EUR/USD, where the cointegrating vector may be assumed to be known a priori, we show that in econometric models it can be more important to allow for cointegration relationships than for time-varying conditional covariance matrix.

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Does the Interest Parity Puzzle Hold for Central and Eastern European Economies?

Dąbrowski,

Janus

2023

Open Econ Rev

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This paper examines the uncovered interest parity puzzle in Central and Eastern European countries. Apart from investigating baseline UIP regressions, we check for structural breaks in this relationship, scrutinize deviations from the UIP, and employ different estimation methods and models augmented with various risk measures. Moreover, we offer several extensions to the common UIP testing that account for foreign-exchange interventions, the implied volatility of exchange rates, and the limited availability of data on direct measures of market expectations. The study shows that the choice of the reference currency matters for the outcome of the interest parity tests in the CEE economies. In particular, we demonstrate that inconsistencies between the results of the UIP tests vis-à-vis the euro and the US dollar that appear in CEE economies may be accounted for by the movements of the euro-dollar risk premium. This regularity has not been documented in previous studies. Additionally, we show that (a) the FX interventions in Czechia distorted the UIP, (b) the directly measured exchange rate expectations (granular survey data) in Poland do not seem to be informed by the UIP relationship, (c) the limited resilience of CEE economies to rare disasters may plausibly explain deviations from the UIP.

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Real Exchange Rates, Oil Price Spillover Effects, and Tripolarity

Cited by 6 publications

References 56 publications

A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships

Does the Interest Parity Puzzle Hold for Central and Eastern European Economies?

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