Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries

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Cited by:

1. Huang, Shoujun & Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2024. "International transmission of shocks and African forex markets," Energy Economics, Elsevier, vol. 131(C).
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5. Huang, Shoujun & Gubareva, Mariya & Teplova, Tamara & Bossman, Ahmed, 2024. "African forex markets: Modeling their predictability and the asymmetric effects of oil and geopolitical risk," Energy Economics, Elsevier, vol. 136(C).
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   • Xin Sheng & Won Joong Kim & Rangan Gupta, 2021. "The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?," Working Papers 202184, University of Pretoria, Department of Economics.
9. Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.
10. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
11. Neluka Devpura, 2021. "Can Oil Prices Predict Japanese Yen?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(3), pages 1-5.
12. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
13. Akyildirim, Erdinc & Cepni, Oguzhan & Molnár, Peter & Uddin, Gazi Salah, 2022. "Connectedness of energy markets around the world during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 109(C).
14. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
15. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
16. Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
17. Bruna, Karel & Van Tran, Quang, 2023. "Asymmetric effects of oil price shocks on EUR/USD exchange rate and structural shock decomposition in a BVAR model with sign restriction," Energy Economics, Elsevier, vol. 128(C).
18. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
19. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
20. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
21. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
22. Pami Dua & Rajiv Ranjan & Deepika Goel, 2023. "Forecasting the INR/USD Exchange Rate: A BVAR Framework," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 183-224, Springer.
23. Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
24. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
25. He, Feng & Ma, Feng & Wang, Ziwei & Yang, Bohan, 2021. "Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector," International Review of Financial Analysis, Elsevier, vol. 75(C).
26. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
27. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).