The influence of international oil prices on the exchange rates of oil exporting countries: Based on the hybrid copula function

Wang, Jianzhou; Niu, Xinsong; Zhang, Lifang; Liu, Zhenkun; Wei, Danxiang

doi:10.1016/j.resourpol.2022.102734

Cited by 24 publications

(7 citation statements)

References 41 publications

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“…The results indicate that crude oil price shocks have a time-varying negative influence on exchange rate fluctuations. Similarly, Wang et al (2022b) also confirm that oil price shocks have a remarkable effect on the exchange rate changes under various time horizons. Similarly, Chen et al (2022) focus on Brazil, Russia, India, China, and South Africa countries and suggest that volatility transmissions between oil prices and exchange rate markets are asymmetric and statistically significant.…”

Section: Literature Reviewsupporting

confidence: 65%

“…From this point to the beginning of the war period, in connection with the Russia–Ukraine crisis, there have been alternating periods of calm and unrest. In fact, an appreciation of global oil prices creates a positive impact on exchange rate markets (Bossman et al , 2022; Wang et al , 2022b). In addition, stronger exchange rates are a signal for more expensive exports, thus promoting the competitiveness of import-oriented firms (Mokni et al , 2021).…”

Section: Resultsmentioning

confidence: 99%

“…The second category is through channels that have an influence on the balance of payments. The third option is to influence domestic economic channels (Wang et al , 2022b).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Recently, Baek (2022) accounted for the asymmetric impact of oil prices on the KRW/US dollar exchange rate during COVID-19 and provided evidence that there exists an asymmetric influence of oil shocks on the KRW/US dollar in the short and long run. Wang et al (2022b) highlight the effect of oil prices on currencies using a copula framework. The authors confirm that Brent crude oil prices have a significant impact and a high-tail relationship with the exchange rate markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Nevertheless, during the crises, the causal associations between exchange rates and oil prices were somewhat strong (Boubaker et al , 2022; Qureshi et al , 2022; Umar et al , 2022a; Bossman et al , 2022; Bouri et al , 2023). According to Wang et al (2022b), global oil prices were determined as a primary risk transmitter to exchange rates. In addition, the price of crude oil, which is traded around the world in a variety of currencies, has risen in relation to the seven major currencies of the G7 (Mokni et al , 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

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Time-varying connectedness and causality between oil prices and G7 economies exchange rates. Evidence from the COVID-19 and Russia-Ukraine crises

Thai Hung

2023

SEF

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Purpose This study aims to attempt to investigate the time-varying causality and price spillover effects between crude oil and exchange rate markets in G7 economies during the COVID-19 and Russia–Ukraine crises. Design/methodology/approach This study uses time-varying Granger causality test and spillover index. Findings This study finds a time-varying causality between exchange rate returns and oil prices, implying that crude oil prices have the predictive power of the foreign exchange rate markets in G7 economies in their domain. Furthermore, the total spillover index is estimated to fall significantly around COVID-19 and war events. However, this index is relatively high – more than 57% during the first wave of COVID-19 and decreasing slightly during the Russia–Ukraine conflict. Practical implications This outcome supports the hypothesis that the majority of the time-varying interaction between exchange rates and oil prices takes place in the short term. As a result, the time-varying characteristics provide straightforward insight for investors and policymakers to fully understand the intercorrelation between oil prices and the G7 exchange rate markets. Originality/value First, this study has reexamined the oil–exchange rate nexus to highlight new evidence using novel time-varying Granger causality model recently proposed by Shi et al. (2018) and the spillover index proposed by Diebold and Yilmaz (2012). These approaches allow the author to improve understanding of time-varying causal associations and return transmission between exchange rates and oil prices. Second, compared to past papers, this paper has used data from December 31, 2019, to October 31, 2022, to offer a fresh and accurate structure between the markets, which indicates the unique experience of the COVID-19 outbreak and Russia–Ukraine war episodes. Third, this study analyzes a data set of seven advanced economies (G7) exhibiting significant variations in their economic situations and responding to global stress times.

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Section: Literature Reviewsupporting

confidence: 65%

Section: Resultsmentioning

confidence: 99%

“…The second category is through channels that have an influence on the balance of payments. The third option is to influence domestic economic channels (Wang et al , 2022b).…”

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%