Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches |
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| Affiliation: | 1. Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Kalamata, 24100, Greece;2. Department of Banking & Financial Management, University of Piraeus, Greece;3. Eastern Mediterranean University, Northern Cyprus, via Mersin 10, Turkey;4. Montpellier Business School, Montpellier, France;5. University of Pretoria, Pretoria, South Africa;1. Jindal School of Banking & Finance, O P Jindal Global University, Haryana, India;2. Indian Institute of Management Bangalore, Bengaluru, Karnataka, India |
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| Abstract: | We employ the relatively novel quantile-on-quantile and causality-in-quantiles approaches to empirically address the effects of oil price shocks on exchange rates of developed and developing countries. We find the evidence of the effects of oil shocks on exchange rates vary across quantiles. In addition, the effects and causality of oil price shocks are asymmetric and the slope of the coefficient in quantile-on-quantile analysis shows a relatively extreme fluctuation. Furthermore, for the developed currencies, the Granger causal relationship in both the mean and the variance running from oil shocks to exchange rates is always evident at all quantiles, while for the developing countries, the causal flow in the first and second moments is insignificant at middle quantiles. |
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| Keywords: | Crude oil Exchange rates Quantile-on-quantile Causality-in-quantiles |
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