 The connectedness between uncertainty and exchange rates of oil import countries: new evidence from time and frequency perspectiveBin Mo, Haiyu Zeng, Juan Meng and Shaokai Ding Resources Policy, 2024, vol. 88, issue C Abstract: In this study, we have empirically investigated the dynamic spillovers in the connectedness of global economic policy uncertainty and oil market volatility concerning exchange rates in crude oil-importing countries. Our findings reveal that global economic policy uncertainty consistently acts as a net recipient of spillovers, both in the short and long runs. Contrastingly, in the short term, oil market volatility emerges as a significant net transmitter of risk spillovers, with oil price fluctuations exerting a predominant influence on exchange rate volatility in nations reliant on crude oil imports. Remarkably, this relationship undergoes a notable reversal in the long run. In the long run, geopolitical uncertainty takes precedence, establishing itself as the primary net spillover factor, superseding the influence previously exerted by oil price volatility. These empirical insights offer valuable guidance for policymakers in effectively managing external shocks in the context of global economic uncertainties and oil market dynamics. Keywords: Time and frequency connectedness; Uncertainty; Crude oil; Exchange rate (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:88:y:2024:i:c:s0301420723011091 DOI: 10.1016/j.resourpol.2023.104398 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.