دانلود مقاله ISI انگلیسی شماره 145706
ترجمه فارسی عنوان مقاله

رابطه متقابل بین سیاست پولی ایالات متحده، شاخص دلار آمریکا و بازار نفت خام

عنوان انگلیسی
Cross-correlations between the US monetary policy, US dollar index and crude oil market
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
145706 2017 45 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 467, 1 February 2017, Pages 326-344

پیش نمایش مقاله
پیش نمایش مقاله  رابطه متقابل بین سیاست پولی ایالات متحده، شاخص دلار آمریکا و بازار نفت خام

چکیده انگلیسی

This paper investigates the cross-correlations between the US monetary policy, US dollar index and WTI crude oil market, using a dataset covering a period from February 4, 1994 to February 29, 2016. Our study contributes to the literature by examining the effect of the US monetary policy on US dollar index and WTI crude oil through the MF-DCCA approach. The empirical results show that the cross-correlations between the three sets of time series exhibit strong multifractal features with the strength of multifractality increasing over the sample period. Employing a rolling window analysis, our empirical results show that the US monetary policy operations have clear influences on the cross-correlated behavior of the three time series covered by this study.