 Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai BahtPhouphet Kyophilavong, Emmanuel Abakah and Aviral Tiwari Resources Policy, 2023, vol. 80, issue C Abstract: This paper investigates the cross-spectral coherence and co-movement between the monthly return series of WTI oil price and exchange rate of Thai Baht against USD from 1986 to 2019. We use a quantile cross spectral (coherency) approach and time frequency wavelets as estimation techniques. Results from the quantile coherency analysis reveal a negative spillover effects of oil price and Thai exchange rates in the short, medium, and long run which connotes that oil market poses systemic risk to the foreign exchange market in Thailand in short, medium and long term. From the wavelets analysis, we first note that there is no co-movements at high frequency (i.e. short term). However, additional results show positive and negative co-movements between oil price and Thailand-US exchange rate in different periods and different frequencies with the effect been stronger during extreme volatility periods. Policy implications are derived at the end of the article. Keywords: Quantile coherency; Wavelets; Systemic risk; Oil price; Exchange rate; Thailand (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006031 DOI: 10.1016/j.resourpol.2022.103160 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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