Giving and receiving: Exploring the predictive causality between oil prices and exchange rates

Jose E. Gomez‐Gonzalez, Jorge Hirs‐Garzon and Jorge Uribe
Authors registered in the RePEc Author Service: Jose Gomez-Gonzalez and Jorge Hirs-Garzon

International Finance, 2020, vol. 23, issue 1, 175-194

Abstract: We study the dynamic connectedness and predictive causality between oil prices and exchange rates. Our sample includes six important oil‐producing and six net importing countries. Our results show that for the first set of countries, oil prices are net spillover receivers from exchange rate markets. Similarly, there is evidence of bidirectional Granger causality, which is detected for longer time periods from these countries’ exchange rates to oil prices. In contrast, for the second set of countries, oil prices are net spillover transmitters, and the causality is stronger from oil prices to exchange rates, mainly in the aftermath of the Global Financial Crisis. However, even for this group of countries, there are long periods of time for which exchange‐rate markets transmit spillovers to oil markets. Overall, oil markets are net receivers of shocks during most of the sample period, thus providing evidence in favor of the oil‐financialization hypothesis.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
https://doi.org/10.1111/infi.12354

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:intfin:v:23:y:2020:i:1:p:175-194

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1367-0271

Access Statistics for this article

International Finance is currently edited by Benn Steil

More articles in International Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().