SHORT AND LONG-TERM CAUSALITY RELATIONS BETWEEN BROAD MONEY AND CRUDE OIL, EXCHANGE RATE, COMMODITY OPTION VOLATILITIES

Kaya TOKMAKCİOGLU; Oguzhan OZCELEBİ

doi:https://doi.org/10.17261/Pressacademia.2017.751

Makale detayları

SHORT AND LONG-TERM CAUSALITY RELATIONS BETWEEN BROAD MONEY AND CRUDE OIL, EXCHANGE RATE, COMMODITY OPTION VOLATILITIES

Yazarlar:

Kaya TOKMAKCİOGLU | Oguzhan OZCELEBİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2017 Vol.4 Issue 4, pp.417-424

Belge Tipi:

Makale

Yayın Tarihi:

12/2017

Belge Dili:

İngilizce

Document ID (Org No.):

2000738771

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2017.751

Özet:

 


Purpose- The purpose of the study is to examine the dynamics linking
broad money (M3) growth and crude oil volatility, euro/dollar volatility,
commodity option volatility for the case of the US. 


Methodology- Causality analysis depending on Vector Error
Correction (VEC) models is employed to estimate the relationship between broad
money (M3) growth and crude oil volatility, euro/dollar volatility, commodity
option volatility for the case of the US.

Findings- Causality analysis results stresses that the balance
sheet size of FED increase the uncertainties commodity and currency markets and
thus volatility in euro/dollar and spot oil price and commodity options can be
raised in the long-term. Both instantaneous causality and Granger causality
indicate that money demand behavior of US economic agents are not affected from
the commodity option, euro/dollar and crude oil volatilities both in short- and
long-run.  


Conclusion- Our empirical analysis implies that monetary aggregate
targeting policy of FED can not be negatively mitigated by commodity option
volatility, euro/dollar volatility, crude oil volatility indices. For further
studies and analysis, we suggest the clarification of channels between monetary
policy stance and financial instruments traded in commodity and currency
markets. 




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Makale detayları

SHORT AND LONG-TERM CAUSALITY RELATIONS BETWEEN BROAD MONEY AND CRUDE OIL, EXCHANGE RATE, COMMODITY OPTION VOLATILITIES

Yazarlar: Kaya TOKMAKCİOGLU | Oguzhan OZCELEBİ

Yayıncı: PressAcademia

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Journal of Economics Finance and Accounting 2017 Vol.4 Issue 4, pp.417-424

Belge Tipi: Makale

Yayın Tarihi: 12/2017

Belge Dili: İngilizce

Document ID (Org No.): 2000738771

Sıklık: Üç Aylık

eISSN: 2148-6697

DOI: https://doi.org/10.17261/Pressacademia.2017.751

Sayı

Yazarlar:

Kaya TOKMAKCİOGLU | Oguzhan OZCELEBİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2017 Vol.4 Issue 4, pp.417-424

Belge Tipi:

Makale

Yayın Tarihi:

12/2017

Belge Dili:

İngilizce

Document ID (Org No.):

2000738771

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2017.751