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- W2564350093 abstract "We investigate the contemporaneous spillovers among precious metals, crude oil and the US$ exchange rate. We contend that conventional reduced-form vector autoregressive (VAR) models based on lead/lag relations do not fully capture the interactions among these series as these models ignore the contemporaneous effects. Using a Structural VAR model, we identify these contemporaneous spillovers, which are shown to be strong and asymmetric. We further show that not taking into consideration the contemporaneous interactions among these assets leads to inaccurate findings and inevitably to inaccurate interpretations of the causal relations among them." @default.
- W2564350093 created "2017-01-06" @default.
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- W2564350093 date "2016-12-20" @default.
- W2564350093 modified "2023-10-05" @default.
- W2564350093 title "Precious metals, oil and the exchange rate: contemporaneous spillovers" @default.
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- W2564350093 doi "https://doi.org/10.1080/00036846.2016.1270416" @default.
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