This paper investigates the impact of changes in the U.S. dollar/euro exchange rate on crude oil prices. The negative correlation of these two variables is ascribed to five possible channels: on the supply side, the purchasing power of oil export revenues and on the demand side, local prices in...

This discussion paper led to an article in the <I>Journal of Time Series Analysis</I> (2010). Vol. 31, pages 407-414.<P> State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for...</p></i>

State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...

VAR models are used in practice in preference to VARMA models due to the difficult issues involved in the identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic variables. To answer this question, we extend the Tiao and Tsay...

If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...