Quantile connectedness between oil price shocks and exchange rates
Document Type
Article
Source of Publication
Resources Policy
Publication Date
6-1-2023
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.
DOI Link
ISSN
Publisher
Elsevier BV
Volume
83
Disciplines
Business
Keywords
Brexit, COVID-19, Exchange rates, Oil price shocks, Quantile connectedness, Quantile spillovers, Russia-Ukraine
Scopus ID
Recommended Citation
Umar, Zaghum and Bossman, Ahmed, "Quantile connectedness between oil price shocks and exchange rates" (2023). All Works. 5839.
https://zuscholars.zu.ac.ae/works/5839
Indexed in Scopus
yes
Open Access
no
