Dynamic spillovers between oil market, monetary policy, and exchange rate dynamics in the US

Baris Kocaarslan

Finance Research Letters, 2024, vol. 69, issue PA

Abstract: This study examines the dynamic network connectedness among the oil market, monetary policy, and exchange rate dynamics in the US. Two dimensions of the relevant markets—specifically, oil prices, interest rates, and US dollar value—along with their associated uncertainties, are analyzed. Our results suggest that the strongest source of risk transmission is oil market uncertainty, with exchange rate market uncertainty and the US dollar following behind. Monetary policy uncertainty emerges as the primary recipient of risk, followed by oil prices and federal funds rate. The results also show that cross-market spillovers are more prominent than within-market spillovers.

Keywords: Oil prices; US dollar; Interest rates; Uncertainty; Dynamic connectedness (search for similar items in EconPapers)
JEL-codes: C58 E52 E58 F31 Q43 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011668

DOI: 10.1016/j.frl.2024.106137

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