Abstract
The relationship between crude oil futures and exchange rates has been the subject of several research studies. Through the utilization of a TVP-VAR (time-varying parameter VAR) extended joint connectedness methodology and the generalized connectedness technique to investigate the interconnectivity of oil futures prices of key oil-dependent nations and exchange rates, we contribute to the existing body of knowledge. Our findings indicate a time-varying nature of overall and pairwise connections, which typically intensifies during various periods such as the COVID-19 pandemic, Brexit, and the European sovereign debt crisis. The Japanese Yen and Russian Ruble appear as the primary recipients of net shocks, as suggested by both the generalized and joint connectedness methodologies. For other nations, similar methods yield conflicting results. Furthermore, there is clear evidence of time-dependent and bidirectional shock transmissions between the oil and foreign exchange markets. Our research provides valuable policy recommendations for stakeholders and diverse investors.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.