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Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego

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  • Karol Szafranek

    (Narodowy Bank Polski, Szkoła Główna Handlowa w Warszawie)

Abstract

Ceny ropy naftowej i kurs dolara amerykańskiego są ujemnie skorelowane, lecz zależność ta nie jest stabilna w czasie. Wykorzystując dwustopniową procedurę, w niniejszej pracy wyodrębniam zmienną w czasie korelację pomiędzy cenami ropy naftowej a kursem dolara amerykańskiego na podstawie modelu DCC, a następnie analizuję jej determinanty przez pryzmat bayesowskiego modelu SVAR. Wyniki przeprowadzonych analiz wskazują, że ujemna korelacja pomiędzy badanymi zmiennymi nasilała się w okresie poprzedzającym globalny kryzys finansowy oraz w jego trakcie, natomiast w dobie rewolucji łupkowej znacznie osłabła. Przyczynił się do tego zmniejszający się udział deficytu bilansu obrotów bieżących w handlu produktami naftowymi w PKB Stanów Zjednoczonych, wysoki poziom produkcji i zapasów ropy naftowej w Stanach Zjednoczonych oraz relatywnie niski poziom awersji do ryzyka. Ponowny wzrost niepewności wraz ze spadkiem zapasów spowodował umocnienie się ujemnej zależności pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego w pierwszej połowie 2018 r.

Suggested Citation

  • Karol Szafranek, 2018. "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 671-708.
  • Handle: RePEc:nbp:nbpbik:v:49:y:2018:i:6:p:671-708
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    More about this item

    Keywords

    ropa naftowa; dolar amerykański; warunkowa korelacja; model DCC; SBVAR;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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