Cross-correlations between the US monetary policy, US dollar index and crude oil market

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• 作者：Xinxin Sun^a ; ^{1410320@tongji.edu.cn} ; Xinsheng Lu^b ; ^{xinshenglu@hotmail.com} ; Gongzheng Yue^a ; ^{df863@126.com} ; Jianfeng Li^a ; ^{1410319@tongji.edu.cn}
• 关键词：Cross-correlations ; MF-DCCA ; US monetary policy ; US dollar index ; Crude oil
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 February 2017
• 年：2017
• 卷：467
• 期：Complete
• 页码：326-344
• 全文大小：866 K
• 卷排序：467

文摘

Cross-correlations between the US monetary policy, US dollar index and WTI crude oil are investigated. Cross-correlations between the three time series exhibit multifractal features in both short- and long-term. Small fluctuations are highly predictable while large fluctuations generally exhibit mean-reversion properties. US monetary policy operations have clear influences on the cross-correlated behavior of the three time series.