IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v99y2025ics105905602500228x.html
   My bibliography  Save this article

Spillovers across the crude oil and major currencies exchange rates using dynamic-quantile-frequency analysis

Author

Listed:
  • Doğan, Buhari
  • Radulescu, Magdalena
  • Nassani, Abdelmohsen A.
  • Mohammed, Kamel S.I.
  • Benlagha, Noureddine
  • Baldan, Cristina Florentina

Abstract

This study examines the link between the daily price changes of WTI and major global currencies from 2000 to 2022. It utilizes mixed dynamic-frequency-quantile-based models to provide new insights into their interconnectedness. Significant price volatility spillages were observed between the two markets, particularly between the oil and JPY currencies. It suggests that the Euro and the Swiss franc have the highest capacity to transmit such fluctuations. Our analysis of quantile connectedness provided compelling evidence that the average level of connectedness between oil prices and Foreign Exchange Markets (FEM) varies across different quantiles. The presence of asymmetric tail dependence between the energy and FEM was also observed. Ultimately, a frequency analysis uncovered the transmission of brief periods of uncertainty shocks between the oil and FEM. The middle- and long-term components exhibited negligible interconnectedness, except during the COVID-19 pandemic (C19P) when there was a rise in the impact of the medium-term component. These findings can provide valuable guidance for policymakers regarding market participants' financial stability and performance.

Suggested Citation

  • Doğan, Buhari & Radulescu, Magdalena & Nassani, Abdelmohsen A. & Mohammed, Kamel S.I. & Benlagha, Noureddine & Baldan, Cristina Florentina, 2025. "Spillovers across the crude oil and major currencies exchange rates using dynamic-quantile-frequency analysis," International Review of Economics & Finance, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:reveco:v:99:y:2025:i:c:s105905602500228x
    DOI: 10.1016/j.iref.2025.104065
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S105905602500228X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2025.104065?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 market; Currency market; Tail connectedness; Quantiles time-frequency;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    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:reveco:v:99:y:2025:i:c:s105905602500228x. 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/inca/620165 .

    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.