Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies

Ioannis Chatziantoniou, Ahmed H. Elsayed, David Gabauer, Giray Gozgor

Research output: Contribution to journalArticlepeer-review

25 Citations (Scopus)

Abstract

This paper introduces a novel framework of partial connectedness measures to investigate contagion dynamics between different types of oil price shocks and exchange rates. Oil price shocks are persistent net transmitters of shocks within the network. It is found that the oil shock net spillovers made up most of the net connectedness values in most countries during the pre-COVID-19 period. Both oil exporters and oil importers, without any exception, were all net receivers of shocks. However, during the COVID-19 era, there were significant differences within the groups of countries. It is also observed that the oil-risk shock transmits to the other two types of oil shocks in the pre-COVID-19 and during the COVID-19 periods. The results may have potential implications for traders.

Original languageEnglish
Article number106627
JournalEnergy Economics
Volume120
DOIs
Publication statusPublished - Apr 2023

Keywords

  • Connectedness decomposition
  • Dynamic connectedness
  • Exchange rates
  • Oil price shocks
  • Partial connectedness
  • TVP-VAR

ASJC Scopus subject areas

  • Economics and Econometrics
  • General Energy

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