Quantile connectedness between oil price shocks and exchange rates
Resources Policy
; 83:103658, 2023.
Article
in English
| ScienceDirect | ID: covidwho-2320041
ABSTRACT
Oil is an energy resource and a driver of global economic activities. The increasing need for oil amplifies its trade and places pressure on the current account balance, which causes exchange rate fluctuations. We transcend the mean-based connectedness measures to explore the oil shocks-exchange rates nexus from an asymmetric perspective. With daily data from 07-03–1996 to 22-08-2022, we analyse the quantile dynamic spillovers between oil price shocks and exchange rates of oil-exporting and oil-importing economies. We show that shock sizes shape the system returns and volatility connectedness, with lower-tailed and upper-tailed shocks having a greater influence on the system connectedness than shocks modelled at the conditional median. By demonstrating asymmetry, the findings emphasise that for a detailed comprehension of the oil shocks-exchange rates connectedness under extreme shocks, it is necessary to go beyond mean-based connectedness metrics. The implications of our findings are important for investors, policymakers, and practitioners.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
Resources Policy
Year:
2023
Document Type:
Article
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