How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic

Kaifeng Li, Neluka Devpura and Sijia Cheng

Pacific-Basin Finance Journal, 2022, vol. 75, issue C

Abstract: In this paper, we use a shock spillover index to test the hypothesis that oil prices helped shape exchange rate behavior during the COVID-19 period. We use four exchange rates (CAD, EURO, JPY, and GBP vis-à-vis the USD) together with the oil price variable to test the importance of both return and volatility spillovers. Using hourly data, we consistently discover that both oil price return and volatility spillovers have become more important in explaining exchange rates in the COVID-19 period.

Keywords: COVID-19; Volatility; Returns; Exchange rate (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001524

DOI: 10.1016/j.pacfin.2022.101857

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