- Journal of Economics Finance and Accounting
- Vol: 4 Issue: 4
- SHORT AND LONG-TERM CAUSALITY RELATIONS BETWEEN BROAD MONEY AND CRUDE OIL, EXCHANGE RATE, COMMODITY ...
SHORT AND LONG-TERM CAUSALITY RELATIONS BETWEEN BROAD MONEY AND CRUDE OIL, EXCHANGE RATE, COMMODITY OPTION VOLATILITIES
Authors : Kaya Tokmakcioglu, Oguzhan Ozcelebi
Pages : 417-424
Doi:10.17261/Pressacademia.2017.751
View : 22 | Download : 9
Publication Date : 2017-12-30
Article Type : Research
Abstract :Purpose- The purpose of the study is to examine the dynamics linking broad money (M3) growth and crude oil volatility, euro/dollar volatility, commodity option volatility for the case of the US. Methodology- Causality analysis depending on Vector Error Correction (VEC) models is employed to estimate the relationship between broad money (M3) growth and crude oil volatility, euro/dollar volatility, commodity option volatility for the case of the US. Findings- Causality analysis results stresses that the balance sheet size of FED increase the uncertainties commodity and currency markets and thus volatility in euro/dollar and spot oil price and commodity options can be raised in the long-term. Both instantaneous causality and Granger causality indicate that money demand behavior of US economic agents are not affected from the commodity option, euro/dollar and crude oil volatilities both in short- and long-run. Conclusion- Our empirical analysis implies that monetary aggregate targeting policy of FED can not be negatively mitigated by commodity option volatility, euro/dollar volatility, crude oil volatility indices. For further studies and analysis, we suggest the clarification of channels between monetary policy stance and financial instruments traded in commodity and currency markets.Keywords : Causality analysis, crude oil volatility, exchange rate volatility, commodity option volatility, monetary policy