Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices

Xin Li ()
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Xin Li: Nankai University

Letters in Spatial and Resource Sciences, 2022, vol. 15, issue 3, No 22, 665-673

Abstract: Abstract This study aims to investigate the time-varying spillover effects of the U.S. climate policy uncertainty (U.S. CPU) shock on crude oil prices and exchange rates by utilizing the DCC-GARCH connectedness approach. The results show that U.S.CPU is the largest net transmitter, followed by the crude oil price. Our outcomes also indicate that the Italian currency is the main net recipient and further reveal the pass-through effect of crude oil prices between U.S. CPU and exchange rates.

Keywords: Real effective exchange rate; Climate policy uncertainty; Crude oil; Dynamic connectedness (search for similar items in EconPapers)
JEL-codes: F31 G15 Q54 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s12076-022-00318-4

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