EconPapers    
Economics at your fingertips  
 

How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic

Kaifeng Li, Neluka Devpura and Sijia Cheng

Pacific-Basin Finance Journal, 2022, vol. 75, issue C

Abstract: In this paper, we use a shock spillover index to test the hypothesis that oil prices helped shape exchange rate behavior during the COVID-19 period. We use four exchange rates (CAD, EURO, JPY, and GBP vis-à-vis the USD) together with the oil price variable to test the importance of both return and volatility spillovers. Using hourly data, we consistently discover that both oil price return and volatility spillovers have become more important in explaining exchange rates in the COVID-19 period.

Keywords: COVID-19; Volatility; Returns; Exchange rate (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X22001524
Full text for ScienceDirect subscribers only

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:eee:pacfin:v:75:y:2022:i:c:s0927538x22001524

DOI: 10.1016/j.pacfin.2022.101857

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-11-11
Handle: RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001524