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2010 Third International Joint Conference on Computational Science and Optimization
A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars
Huangshan, Auhui, China
May 28-May 31
ISBN: 978-0-7695-4030-6
ASCII Text
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Wei Sun, Zhongying Qi, Niannian Jia, "A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars," 2012 Fifth International Joint Conference on Computational Sciences and Optimization, vol. 2, pp. 225-229, 2010 Third International Joint Conference on Computational Science and Optimization, 2010.
 
 
BibTex
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@article{ 10.1109/CSO.2010.41,
author = {Wei Sun and Zhongying Qi and Niannian Jia},
title = {A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars},
journal ={2012 Fifth International Joint Conference on Computational Sciences and Optimization},
volume = {2},
year = {2010},
isbn = {978-0-7695-4030-6},
pages = {225-229},
doi = {http://doi.ieeecomputersociety.org/10.1109/CSO.2010.41},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
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TY - CONF
JO - 2012 Fifth International Joint Conference on Computational Sciences and Optimization
TI - A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars
SN - 978-0-7695-4030-6
SP225
EP229
A1 - Wei Sun,
A1 - Zhongying Qi,
A1 - Niannian Jia,
PY - 2010
KW - oil shocks
KW - time-varying structural VAR
KW - exchange rate
VL - 2
JA - 2012 Fifth International Joint Conference on Computational Sciences and Optimization
ER -
 
In order to compare the difference in the transmission of positive and negative oil shocks on US dollar, a time-varying structural VAR model with oil shocks and US dollar exchange rates is proposed in this paper. By extending the basic time-varying structural VAR model, two structure orthogonal oil shocks can be gained by changing the time-varying state space matrix. Then, the net effects of positive and negative oil shocks are calculated by an accumulated contribution model and the rolling regression. Finally, the corresponding reasons for the conclusions are presented.
Index Terms:
oil shocks, time-varying structural VAR, exchange rate
Citation:
Wei Sun, Zhongying Qi, Niannian Jia, "A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars," cso, vol. 2, pp.225-229, 2010 Third International Joint Conference on Computational Science and Optimization, 2010
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