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The impact of oil shocks on exchange rates: A Markov-switching approach. (2016). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
In: Energy Economics.
RePEc:eee:eneeco:v:54:y:2016:i:c:p:11-23.

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  1. The euro to dollar exchange rate in the Covid?19 era: Evidence from spectral causality and Markov?switching estimation. (2023). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Melissaropoulos, Ioannis G.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2037-2055.

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  2. A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic. (2023). Phoong, Seuk Yen ; al Mahi, Masnun.
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  3. Time-varying causality between oil price and exchange rate in five ASEAN economies. (2023). Lim, So Young ; Awan, Ashar ; Kyophilavong, Phouphet ; Kocoglu, Mustafa.
    In: Economic Change and Restructuring.
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  4. Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods. (2023). Hamori, Shigeyuki ; Shang, Jin.
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  5. Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method. (2023). Luo, Keyu ; Hong, Yanran ; Ruan, Hang ; Wang, LU.
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  6. Safe haven for crude oil: Gold or currencies?. (2023). Dong, Minyi ; Yang, Shenggang ; Tian, Xinyi ; Ming, Lei.
    In: Finance Research Letters.
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  7. Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre.
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  8. Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. (2023). Gözgör, Giray ; Elsayed, Ahmed ; Gozgor, Giray ; Gabauer, David ; Chatziantoniou, Ioannis.
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  9. Energy shocks and bank performance in the advanced economies. (2023). Downing, Gareth ; Nasim, Asma.
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  11. The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review. (2023). Khan, Uzma ; Naushad, Mohammad ; Ahmed, Haseen ; Siddiqui, Taufeeque Ahmad.
    In: International Journal of Energy Economics and Policy.
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  14. Contagion or flight?to?quality? The linkage between oil price and the US dollar based on the local Gaussian approach. (2022). Dong, Minyi ; Yang, Shenggang ; Shen, Yao ; Ming, Lei.
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  15. Forecasting realized volatility: New evidence from time?varying jumps in VIX. (2022). Dutta, Anupam ; Das, Debojyoti.
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  16. Macroeconomic implications of oil price shocks to emerging economies: a Markov regime-switching approach. (2022). Koenda, Even ; Togonidze, Sophio.
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  17. Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: An Analysis by Region and Resource Profile. (2022). Kočenda, Evžen ; Togonidze, Sophio ; Koenda, Even.
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  18. Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real. (2022). Mattos, Leonardo Bornacki ; da Silva, Rodrigo.
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  19. The Dynamic Effects of Oil Price Shocks on Exchange Rates—From a Time-Varying Perspective. (2022). Gao, Wang ; Zhang, Haizhen ; Yang, Shixiong ; Li, Ting.
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  20. Accounting for real exchange rates in emerging economies: The role of commodity prices. (2022). Yepez, Carlos ; Dzikpe, Francis.
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  21. How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic. (2022). Cheng, Sijia ; Devpura, Neluka ; Li, Kaifeng.
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  22. Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS. (2022). Chen, Yufeng ; Xu, Jing ; Hu, May.
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  23. Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data. (2022). Vo, Xuan Vinh ; Kang, Sanghoon ; Mensi, Walid ; Shafiullah, Muhammad.
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  24. Extreme dependence between structural oil shocks and stock markets in GCC countries. (2022). Maghyereh, Aktham ; Abdoh, Hussein.
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  25. Inflation, oil prices and exchange rates. The Euro’s dampening effect. (2022). Luis, Hierro ; Antonio, Garzon.
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  26. Impact of diesel price reforms on asymmetricity of oil price pass-through to inflation: Indian perspective. (2022). Pradeep, Siddhartha.
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  27. Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries. (2022). Forhad, Md. ; Alam, Md Rafayet ; Rahman, Md Abdur.
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  28. Consumption- and speculation-led change in demand for oil and the response of base metals: A Markov-switching approach. (2022). Sah, Nilesh B ; Rahman, Md Abdur ; Alam, Md Rafayet.
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  29. Do heterogeneous oil price shocks really have different effects on earnings management?. (2022). Lin, Boqiang ; Wu, Nan.
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  30. Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective. (2022). Singh, Vipul Kumar ; Kumar, Pawan.
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  31. Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness. (2022). Tiwari, Aviral ; Roubaud, David ; Asadi, Mehrad.
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  32. Oil shocks and corporate social responsibility. (2022). al Mamun, Mohammed Abdullah ; Wong, Jin Boon ; Hasan, Mostafa Monzur.
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  34. Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile. (2022). Koenda, Even ; Togonidze, Sophio.
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  35. Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles. (2022). Ma, Chao-Qun ; Narayan, Seema ; Ren, Yi-Shuai ; Jiang, Yong ; Yang, Xiao-Guang.
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  36. Asymmetric Relationship between Exchange Rate Volatility and Oil Price: Case Study of Thai-Baht. (2022). Harnphattananusorn, Supanee.
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  37. Stock market reactions to different types of oil shocks: Evidence from China. (2021). Wong, Jin Boon.
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  38. Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates. (2021). Nguyen, Duc Khuong ; Ji, Qiang ; Fan, Ying ; Liu, Bingyue.
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  39. Dynamic linkage between oil prices and exchange rates: new global evidence. (2021). Lee, Chien-Chiang ; Huang, Bwo-Nung ; Chang, Yu-Fang.
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  40. Oil market uncertainty and excess returns on currency carry trade. (2021). Yin, Libo ; Mo, Xuan ; Su, Zhi.
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  41. Crude oil shocks and African stock markets. (2021). Odei-Mensah, Jones ; Junior, Peterson Owusu ; Enwereuzoh, Precious Adaku.
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  42. Impacts of coal prices on the performance of Chinese financial institutions: Does electricity consumption matter?. (2021). Lin, Boqiang ; Wang, Chonghao.
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  43. Regime-switching energy price volatility: The role of economic policy uncertainty. (2021). Etienne, Xiaoli L ; Scarcioffolo, Alexandre R.
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  44. Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model. (2021). Wang, Gang-Jin ; Yang, Xiaoguang ; Ma, Chaoqun ; Jiang, Yong.
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  45. Oil-gold nexus: Evidence from regime switching-quantile regression approach. (2021). Mokni, Khaled ; Youssef, Manel.
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  46. Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. (2021). Jareño, Francisco ; Escribano, Ana ; Jareo, Francisco ; Umar, Zaghum.
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  47. On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty. (2021). Adekoya, Oluwasegun B ; Fasanya, Ismail O ; Adetokunbo, Abiodun M.
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  48. Are Indian sectoral indices oil shock prone? An empirical evaluation. (2021). Mishra, Shekhar.
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  49. Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Ma, Feng ; Wang, LU ; Gao, Xinxin ; Hao, Jianyang.
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  51. On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee . (2021). Nguyen, Bao H ; Hou, Chenghan ; Cross, Jamie L.
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  52. Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min.
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  53. Oil price and US dollar exchange rate: Change detection of bi-directional causal impact. (2021). Albulescu, Claudiu ; Ajmi, Ahdi Noomen.
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  54. A model of dynamic tail dependence between crude oil prices and exchange rates. (2021). Ye, Wuyi ; Guo, Ranran.
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  55. Oil price shocks and credit spread: Structural effect and dynamic spillover. (2021). Xie, Rui ; Liu, Cenjie ; Jiang, Yong.
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  56. The effects of oil price shocks on inflation in the G7 countries. (2021). Zhang, Keli ; Wen, Fenghua ; Gong, XU.
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  57. The nonlinear effect of oil price shocks on financial stress: Evidence from China. (2021). Liu, Renren ; Wen, Fenghua ; Chen, Jianzhong.
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  59. Dynamic structural impacts of oil shocks on exchange rates: lessons to learn. (2020). Shahzad, Syed Jawad Hussain ; Ji, Qiang ; Bouri, Elie ; Suleman, Muhammad Tahir ; Hussain, Syed Jawad.
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  61. Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter.
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  62. The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 55 Countries. (2020). GUPTA, RANGAN ; Ji, Qiang ; Sheng, Xin.
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  63. Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates. (2020). Nguyen, Duc Khuong ; Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang.
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  66. The asymmetric relationship between the oil price and the US-Canada exchange rate. (2020). McFarlane, Adian ; Das, Anupam ; Jung, Young Cheol.
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  67. Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. (2020). Mokni, Khaled ; Youssef, Manel.
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  68. Does oil price have similar effects on the exchange rates of BRICS?. (2020). Lin, Boqiang ; Su, Tong.
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  69. Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao.
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  70. The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries. (2020). GUPTA, RANGAN ; Sheng, Xin ; Ji, Qiang.
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  71. Oil shocks, competition, and corporate investment: Evidence from China. (2020). Wen, Fenghua ; Xiao, Jihong ; Li, Yang ; Chen, Xian.
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  72. Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu.
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  73. The relationship between oil prices and exchange rates: Revisiting theory and evidence. (2020). Czudaj, Robert ; Beckmann, Joscha ; Arora, Vipin.
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  74. How do oil price shocks affect the output volatility of the U.S. energy mining industry? The roles of structural oil price shocks. (2020). Xiao, Helu ; Lin, Ling ; Liu, Qing ; Zhou, Zhongbao ; Jiang, Yong.
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  75. Can commodity prices forecast exchange rates?. (2020). Wang, Yudong ; Tan, Siming ; Liu, LI.
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  76. Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches. (2020). Nie, HE ; Mo, Bin ; Feng, Qidi ; Jiang, Yonghong.
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  77. Quantitative easing impotence in the liquidity trap: Further evidence. (2020). Kirikos, Dimitris.
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  78. Socioeconomic impacts of a shortage in imported oil supply: case of China. (2019). Liang, Qiao-Mei ; Yao, Yun-Fei ; Wang, Qian ; Wu, Gang ; Xue, Mei-Mei.
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  79. Modeling real exchange rate of the Russian ruble using Markov regime switching approach. (2019). Shumilov, Andrei ; Kulikov, Alexander ; Bedin, Andrei ; Polbin, Andrey.
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    RePEc:aim:wpaimx:1421.

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  17. Exogenous Shocks and Information Transmission in Global Copper Futures Markets. (2013). Yin, Libo ; Han, Liyan.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:33:y:2013:i:8:p:724-751.

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  18. Oil and gold price dynamics in a multivariate cointegration framework. (2013). Czudaj, Robert ; Beckmann, Joscha.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:10:y:2013:i:3:p:453-468.

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  19. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. (2013). Nguyen, Duc Khuong ; Lahiani, Amine ; Hammoudeh, Shawkat ; AROURI, Mohamed ; Mohamed El Hedi Arouri, ; Mohamed El Hedi Arouri, .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00798033.

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  20. Oil prices and effective dollar exchange rates. (2013). Czudaj, Robert ; Beckmann, Joscha.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:621-636.

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  21. The extreme value in crude oil and US dollar markets. (2013). Wu, Chih-Chiang ; Chen, Wei-Peng ; Choudhry, Taufiq.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:36:y:2013:i:c:p:191-210.

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  22. The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework. (2013). Tiwari, Aviral ; Mutascu, Mihai Ioan ; Albulescu, Claudiu.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:714-733.

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  23. Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?. (2013). Czudaj, Robert ; Beckmann, Joscha.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:665-678.

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  24. A wavelet decomposition approach to crude oil price and exchange rate dependence. (2013). Reboredo, Juan ; Rivera-Castro, Miguel A..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:32:y:2013:i:c:p:42-57.

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  25. Primary commodity prices: Co-movements, common factors and fundamentals. (2013). Fiess, Norbert ; Fazio, Giorgio ; Byrne, Joseph.
    In: Journal of Development Economics.
    RePEc:eee:deveco:v:101:y:2013:i:c:p:16-26.

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  26. Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data. (2013). Rohde, Nicholas ; Burgess, Kieran .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00410.

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  27. Global commodity cycles and linkages: a FAVAR approach. (2012). Schnatz, Bernd ; Osbat, Chiara ; Lombardi, Marco.
    In: Empirical Economics.
    RePEc:spr:empeco:v:43:y:2012:i:2:p:651-670.

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  28. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. (2012). Nguyen, Duc Khuong ; Lahiani, Amine ; Hammoudeh, Shawkat ; AROURI, Mohamed ; Arouri, Mohamed El Hedi, .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:2:p:207-218.

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  29. Modelling oil price and exchange rate co-movements. (2012). Reboredo, Juan.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:34:y:2012:i:3:p:419-440.

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  30. Oil prices, exchange rates and emerging stock markets. (2012). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:227-240.

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  31. Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis. (2012). Wang, Yudong ; Wu, Chongfeng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2289-2297.

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  32. Asset arbitrage and the price of oil. (2012). Tyers, Rodney ; Arora, Vipin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:2:p:142-150.

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  33. The Role of Speculation in Oil Markets: What Have We Learned So Far?. (2012). Mahadeva, Lavan ; Kilian, Lutz ; Fattouh, Bassam .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8916.

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  34. Precios de bienes primarios e inflación en Colombia. (2012). González-Molano, Eliana ; Arango Thomas, Luis ; Gonzalez, Eliana Rocio ; Chavarro, Ximena .
    In: Borradores de Economia.
    RePEc:bdr:borrec:712.

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  35. Growth in Emerging Market Economies and the Commodity Boom of 2003–2008: Evidence from Growth Forecast Revisions. (2012). Vasishtha, Garima ; Arbatli, Elif.
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-8.

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  36. Primary commodity prices : co-movements, common factors and fundamentals. (2011). Fiess, Norbert ; Fazio, Giorgio ; Byrne, Joseph.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:5578.

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  37. How important are real interest rates for oil prices?. (2011). Arora, Vipin ; Tanner, Matthew .
    In: MPRA Paper.
    RePEc:pra:mprapa:35883.

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  38. Oil prices, exchange rates and emerging stock markets. (2011). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: MPRA Paper.
    RePEc:pra:mprapa:30140.

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  39. Asset Arbitrage and the Price of Oil. (2011). Tyers, Rodney ; Arora, Vipin.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2011-21.

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  40. Risk factors in oil and gas industry returns: International evidence. (2011). Veiga, Helena ; Ramos, Sofia.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:3:p:525-542.

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  41. Do global risk perceptions influence world oil prices?. (2011). Soytas, Ugur ; Sarı, Ramazan ; Hacihasanoglu, Erk ; HACIHASANOĞLU, ERK.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:3:p:515-524.

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  42. Causal modeling and inference for electricity markets. (2011). Loland, Anders ; Wilhelmsen, Mathilde ; Ferkingstad, Egil .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:3:p:404-412.

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  43. The Effect of Monetary Policy on Commodity Prices: Disentangling the Evidence for Individual Prices. (2011). Ojeda-Joya, Jair ; Granados, Joan Camilo ; Arteaga, Carolina ; cabrales, Carolina Arteaga ; Joan Camilo Granados Castro, .
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:009199.

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  44. The Effect of Monetary Policy on Commodity Prices: Disentangling the Evidence for Individual Prices. (2011). Ojeda-Joya, Jair ; Granados, Joan Camilo ; Arteaga, Carolina ; cabrales, Carolina Arteaga ; Joan Camilo Granados Castro, .
    In: Borradores de Economia.
    RePEc:bdr:borrec:685.

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  45. Causal modeling and inference for electricity markets. (2011). Loland, Anders ; Wilhelmsen, Mathilde ; Ferkingstad, Egil .
    In: Papers.
    RePEc:arx:papers:1110.5429.

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  46. A hybrid commodity price-forecasting model applied to the sugar–alcohol sector. (2011). Ribeiro, Celma O. ; Oliveira, Sydnei M..
    In: Australian Journal of Agricultural and Resource Economics.
    RePEc:ags:aareaj:176895.

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  47. Asset Value, Interest Rates and Oil Price Volatility. (2011). Arora, Vipin.
    In: ANU Working Papers in Economics and Econometrics.
    RePEc:acb:cbeeco:2011-536.

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  48. Oil Prices, Exchange Rates and Emerging Stock Markets. (2010). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Working Papers.
    RePEc:otg:wpaper:1014.

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  49. Primary commodity prices: co-movements, common factors and fundamentals. (2010). Fiess, Norbert ; Fazio, Giorgio ; Byrne, Joseph.
    In: Working Papers.
    RePEc:gla:glaewp:2010_27.

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  50. Editorial introduction of the special issue: Energy sector pricing and macroeconomic dynamics. (2009). Malliaris, Anastasios ; KYRTSOU, Catherine.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:6:p:825-826.

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