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Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles
Jiang, Yong1; Ren, Yi-Shuai2,3,4,5,7; Narayan, Seema; Ma, Chao-Qun3,4,8; Yang, Xiao-Guang6
2022-11-01
Source PublicationNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
ISSN1062-9408
Volume62Pages:15
AbstractThis paper re-examines the nexus between crude oil price and exchange rate by investigating their heterogeneity dependence structure within the framework of Granger causality in quantiles for a sample of developed and emerging economies (namely UK, Canada, Brazil, Russia, Mexico, Norway, India, Japan, South Africa, South Korea and European Union (EU)). The results indicate no distinct causality between the crude oil price changes and the real exchange rate returns for all countries besides Russia at the median of the conditional distribution. Besides, the crude oil price changes influence the exchange rate returns in all countries, except Norway and EU, particularly around the tails of the conditional distributions of exchange rate returns. This suggests that the oil price changes influence the real exchange rate returns when the real exchange rate returns are either in extreme appreciation or depreciation. Moreover, the crude oil price movement can be explained by the exchange rate returns for most oil importers only when the crude oil market is bearish or bullish. By contrast, the real exchange rate can permanently affect the crude oil price for most oil-importing countries irrespective of the crude oil market's state. Finally, our findings provide an essential reference for managing the extreme risk dependence between the exchange rate market and the crude oil market.
KeywordHeterogeneity dependence Oil price Exchange rate Granger causality in quantiles
DOI10.1016/j.najef.2022.101711
Indexed BySCI
Language英语
Funding ProjectNatural Science Foundation of China[72104075] ; Natural Science Foundation of China[72101120] ; Natural Science Foundation of China[71850012] ; Natural Science Foundation of China[72192800] ; National Office for Philosophy and Social Sciences Fund of China[19AZD014] ; National Office for Philosophy and Social Sciences Fund of China[21ZD125] ; Major Special Projects of the Department of Science and Technology of Hunan province[2018GK1020] ; Hunan social science achievement review committee[XSP21YBC087] ; Youth project of Jiangsu Social Science Foundation[21EYC001] ; Nanjing Audit University for advan-tageous disciplines in Colleges and universities in Jiangsu Province project[[2014] 37] ; Hunan University Youth Talent Program
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000816974900005
PublisherELSEVIER SCIENCE INC
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/61224
Collection中国科学院数学与系统科学研究院
Corresponding AuthorRen, Yi-Shuai
Affiliation1.Nanjing Audit Univ, Sch Finance, Nanjing, Peoples R China
2.Hunan Univ, Sch Publ Adm, Changsha, Peoples R China
3.Hunan Univ, Res Inst Digital Soc & Blockchain, Changsha, Peoples R China
4.Hunan Univ, Ctr Resource & Environm Management, Changsha, Peoples R China
5.Univ Auckland, Energy Ctr, Auckland, New Zealand
6.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
7.Hunan Univ, Res Ctr Peaking Carbon Emiss & Carbon Neutral, Changsha, Peoples R China
8.Hunan Univ, Business Sch, Changsha, Peoples R China
Recommended Citation
GB/T 7714
Jiang, Yong,Ren, Yi-Shuai,Narayan, Seema,et al. Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2022,62:15.
APA Jiang, Yong,Ren, Yi-Shuai,Narayan, Seema,Ma, Chao-Qun,&Yang, Xiao-Guang.(2022).Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,62,15.
MLA Jiang, Yong,et al."Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 62(2022):15.
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