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Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches

Yonghong Jiang, Qidi Feng, Bin Mo and He Nie

The North American Journal of Economics and Finance, 2020, vol. 52, issue C

Abstract: We employ the relatively novel quantile-on-quantile and causality-in-quantiles approaches to empirically address the effects of oil price shocks on exchange rates of developed and developing countries. We find the evidence of the effects of oil shocks on exchange rates vary across quantiles. In addition, the effects and causality of oil price shocks are asymmetric and the slope of the coefficient in quantile-on-quantile analysis shows a relatively extreme fluctuation. Furthermore, for the developed currencies, the Granger causal relationship in both the mean and the variance running from oil shocks to exchange rates is always evident at all quantiles, while for the developing countries, the causal flow in the first and second moments is insignificant at middle quantiles.

Keywords: Crude oil; Exchange rates; Quantile-on-quantile; Causality-in-quantiles (search for similar items in EconPapers)
JEL-codes: C20 C22 G10 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300589

DOI: 10.1016/j.najef.2020.101161

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