IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v69y2024ipas1544612324011668.html
   My bibliography  Save this article

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

Author

Listed:
  • 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.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612324011668
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2024.106137?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011668. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.