Dynamic connectedness of oil price shocks and exchange rates
By Farooq Malik, Zaghum Umar. Energy Economics, 2019
185 citations recorded by the source corpus.
Using a novel method of isolating the oil price shocks, we study how different sources of oil price shocks are connected to exchange rates of major oil-dependent countries using daily data from March 1996 to February 2019. We find that oil price shocks resulting from changes in demand and risk significantly contribute to variation in exchange rates, while supply shocks have virtually no impact. The connectedness of this relationship between oil price shocks and exchange rates has significantly increased after the global financial crisis. We also find that oil price shocks do not explain the variation in exchange rate volatility but we document significant volatility connectedness among exchange rates. Our findings have important implications for policy makers and financial market participants.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/8f2a5f7ad8c71a13dfb282dca14c9030c393e674
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In Economics and Econometrics
In Renewable Energy, Sustainability and the Environment
Citations in the corpus
- How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “Needless to say, empirical studies on the impact of policy uncertainty on the spillovers across commodity and financial markets are very scarce, as available ones have their focus limited to spillover analysis (see, for instance, Hussain et al., 2019; Malik and Umar, 2019; Jiang and Gu, 2016).”