Article citationsMore>>

Y.-J. Zhang, et al., “Spillover Effect of US Dollar Ex- change Rate on Oil Prices,” Journal of Policy Modeling Vol. 30, No. 6, 2008, pp. 973-991. doi:10.1016/j.jpolmod.2008.02.002

has been cited by the following article:

• TITLE: Co-movements of Oil, Gold, the U.S. Dollar, and Stocks

  AUTHORS: Subarna K. Samanta, Ali H. M. Zadeh

  KEYWORDS: Stationarity; VARMA; Common Trends; Co integration; Granger Causality; Volatility; Spillover Index

  JOURNAL NAME: Modern Economy, Vol.3 No.1, January 5, 2012

  ABSTRACT: This paper examines the comovements of several macro-variables in the world economy over a period of more than twenty years. Long-term co movements are examined by tracking the cointegration, common trend factor and the spiller index over these variables (gold price, stock price, real exchange rate for dollar and the oil price of crude oil). Preminary examination suggests the possibility of cointegration among these variables indicating comovements, although the spillover indices are found to be very small.