Commodity price shocks related to the war in Ukraine and exchange rates of commodity exporters and importers
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Commodity price shocks related to the war in Ukraine and exchange rates of commodity exporters and importers
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| Автор |
Sokhanvar, A.
Bouri, E. |
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| Тематика |
COMMODITY CURRENCIES
DYNAMIC SIMULATED AUTOREGRESSIVE DISTRIBUTED LAGS (DSARDL) MODEL ENERGY PRICE SHOCKS EXCHANGE RATES QUANTILE AUTOREGRESSIVE DISTRIBUTED LAGS (QARDL) RUSSIA-UKRAINE WAR |
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| Описание |
The war in Ukraine and new sanctions imposed on Russia have affected commodity prices and induced historic moves in exchange rate markets. In this paper, we examine the impact of commodity price shocks related to the war in Ukraine on three currencies (Canadian dollar, euro, and Japanese yen). Using four-hour price data for three commodities (wheat, crude oil, and natural gas) and two exchange rates (EUR/CAD and CAD/JPY) from February 1 to April 30, 2022, the analysis based on the quantile autoregressive distributed lag (ARDL) model suggests a long-run association between higher commodity prices and appreciation of the Canadian dollar against the euro and the yen. Furthermore, the dynamic simulated ARDL model shows a positive impact of commodity price shocks on the value of the Canadian dollar against the euro and the yen, which demonstrates the robustness of our findings. Oil price shocks have almost the same impact on the depreciation of the euro and the yen. The driving forces in the depreciation of the euro and the yen, in addition to higher oil prices, are higher gas prices and higher wheat prices, respectively. © 2022 Borsa Ä°stanbul Anonim Åžirketi
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| Дата |
2024-04-05T16:16:08Z
2024-04-05T16:16:08Z 2023 |
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| Тип |
Article
Journal article (info:eu-repo/semantics/article) |info:eu-repo/semantics/publishedVersion |
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| Идентификатор |
Sokhanvar, A & Bouri, E 2023, 'Commodity price shocks related to the war in Ukraine and exchange rates of commodity exporters and importers', Borsa Istanbul Review, Том. 23, № 1, стр. 44-54. https://doi.org/10.1016/j.bir.2022.09.001
Sokhanvar, A., & Bouri, E. (2023). Commodity price shocks related to the war in Ukraine and exchange rates of commodity exporters and importers. Borsa Istanbul Review, 23(1), 44-54. https://doi.org/10.1016/j.bir.2022.09.001 2214-8450 Final All Open Access, Gold https://www.scopus.com/inward/record.uri?eid=2-s2.0-85138824305&doi=10.1016%2fj.bir.2022.09.001&partnerID=40&md5=4734855c031585125731c39175dd4c43 https://doi.org/10.1016/j.bir.2022.09.001 http://elar.urfu.ru/handle/10995/130226 10.1016/j.bir.2022.09.001 85138824305 000948747500001 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
cc-by-nc-nd https://creativecommons.org/licenses/by-nc-nd/4.0/ |
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| Формат |
application/pdf
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| Издатель |
Borsa Istanbul Anonim Sirketi
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| Источник |
Borsa Istanbul Review
Borsa Istanbul Review |
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