 On the connection between oil and global foreign exchange markets: The role of economic policy uncertaintyIsmail Fasanya, Oluwasegun Adekoya () and Abiodun M. Adetokunbo Resources Policy, 2021, vol. 72, issue C Abstract: This paper examines the effect of U.S. economic policy uncertainty on the connectedness across oil and the most globally traded currency pairs. First, we examine volatility spillover among oil and the exchange rates, and find strong connection between crude oil and currency markets with oil being net receivers of shocks. Second, BDS test shows that nonlinearity is very important when examining the role of EPU in affecting the interactions between oil and exchange rate markets. Third, the nonparametric quantiles-based causality test shows that the spillover for each asset is driven by economic policy uncertainty around the lower and median quantiles. This finally suggests that the role of the U.S. economic policy in influencing global financial cycle which consequently leads to capital flows and movements in the prices of assets across financial markets cannot be overemphasized. Relevant policy implications can be drawn from these findings. Keywords: Economic policy uncertainty; Oil-exchange rates nexus; Nonparametric quantile causality; Volatility spillover (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001240 DOI: 10.1016/j.resourpol.2021.102110 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.