Economic Policy Uncertainty and Industrial Linkage in Japan: A Granger Causality in Quantile Test

Long, Trinh Quang; Morgan, Peter J.

doi:10.1080/1540496x.2022.2097867

Cited by 3 publications

(1 citation statement)

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“…Indeed, as emphasized by Granger (2003) and Engle and Manganelli (2004), the time series behavior of quantiles can vary considerably across the distribution because of long memory or non-stationarity. Thus , a Granger causality test in quantiles or tail events not considering a large number of quantiles simultaneously over the distribution support would be too restrictive .Therefore, the application of more reliable granger causality, involving a large number of quantiles (Balcilar et al, 2017;Troster, 2018) has been observed these recent years by researchers from different fields (Alola et al, 2022;Fasanya et al, 2023;Kartal et al, 2023;Lee et al, 2023;Long & Morgan, 2023;Marques & Lima, 2022;Mighri et al, 2022;Mokni & Ajmi, 2021;Raza et al, 2018;Shahzad et al, 2019;Zheng et al, 2023).…”

Section: Literature Reviewmentioning

confidence: 99%

Oil prices and Exchange Rates Causality: New Evidences from Decomposed Oil Prices Shocks and Parametric Quantile Analysis

Joseph,

Dieudonne,

Armando

2024

Preprint

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In this paper, the researchers reassess the causality between oil prices and exchange rates, by applying the parametric quantile analysis to decomposed oil prices shocks and exchange rates returns data of both low income, emerging and developed oil exporting countries from 1993.11 to 2021.10. Unlike the existing researches, our study outcomes support the causal relationship from exchange rates to oil prices shocks at upper and lower quantiles in developed oil exporting countries; this is also true regarding the bidirectional causality observed in low income and emerging oil exporting countries .These findings imply that, important positive and negative oil shocks cause extremes changes in the exchange rate returns of low income and emerging oil exporting countries and reciprocally. However only extreme fluctuations of exchange rate returns of developed oil exporting countries such as Norway and Canada can cause oil prices variations. The results of non-causality at middle quantiles also suggest that the monetary authorities in both developing and developed oil exporting countries resist the exchange rates adjustments when oil prices fluctuations are significant. From these results we recommend sound policies in order to mitigate internal and external shocks during crisis, structural reforms that support diversification of energy production and reduce crude oil dependence, as well as the whole economy diversification mostly for developing countries and finally, multiple exchange rates to diversify portfolio and hedge the risks associated to oil prices fluctuations for investors.

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