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Dynamic spillovers between oil market, monetary policy, and exchange rate dynamics in the US

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  • Kocaarslan, Baris

Abstract

This study examines the dynamic network connectedness among the oil market, monetary policy, and exchange rate dynamics in the US. Two dimensions of the relevant markets—specifically, oil prices, interest rates, and US dollar value—along with their associated uncertainties, are analyzed. Our results suggest that the strongest source of risk transmission is oil market uncertainty, with exchange rate market uncertainty and the US dollar following behind. Monetary policy uncertainty emerges as the primary recipient of risk, followed by oil prices and federal funds rate. The results also show that cross-market spillovers are more prominent than within-market spillovers.

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  • Kocaarslan, Baris, 2024. "Dynamic spillovers between oil market, monetary policy, and exchange rate dynamics in the US," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011668
    DOI: 10.1016/j.frl.2024.106137
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    More about this item

    Keywords

    Oil prices; US dollar; Interest rates; Uncertainty; Dynamic connectedness;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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