中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles

文献类型：期刊论文

作者Jiang, Yong1; Ren, Yi-Shuai2,3,4,5,7; Narayan, Seema; Ma, Chao-Qun3,4,8; Yang, Xiao-Guang6
刊名NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
出版日期2022-11-01
卷号62页码:15
ISSN号1062-9408
关键词Heterogeneity dependence Oil price Exchange rate Granger causality in quantiles
DOI10.1016/j.najef.2022.101711
英文摘要This paper re-examines the nexus between crude oil price and exchange rate by investigating their heterogeneity dependence structure within the framework of Granger causality in quantiles for a sample of developed and emerging economies (namely UK, Canada, Brazil, Russia, Mexico, Norway, India, Japan, South Africa, South Korea and European Union (EU)). The results indicate no distinct causality between the crude oil price changes and the real exchange rate returns for all countries besides Russia at the median of the conditional distribution. Besides, the crude oil price changes influence the exchange rate returns in all countries, except Norway and EU, particularly around the tails of the conditional distributions of exchange rate returns. This suggests that the oil price changes influence the real exchange rate returns when the real exchange rate returns are either in extreme appreciation or depreciation. Moreover, the crude oil price movement can be explained by the exchange rate returns for most oil importers only when the crude oil market is bearish or bullish. By contrast, the real exchange rate can permanently affect the crude oil price for most oil-importing countries irrespective of the crude oil market's state. Finally, our findings provide an essential reference for managing the extreme risk dependence between the exchange rate market and the crude oil market.
资助项目Natural Science Foundation of China[72104075] ; Natural Science Foundation of China[72101120] ; Natural Science Foundation of China[71850012] ; Natural Science Foundation of China[72192800] ; National Office for Philosophy and Social Sciences Fund of China[19AZD014] ; National Office for Philosophy and Social Sciences Fund of China[21ZD125] ; Major Special Projects of the Department of Science and Technology of Hunan province[2018GK1020] ; Hunan social science achievement review committee[XSP21YBC087] ; Youth project of Jiangsu Social Science Foundation[21EYC001] ; Nanjing Audit University for advan-tageous disciplines in Colleges and universities in Jiangsu Province project[[2014] 37] ; Hunan University Youth Talent Program
WOS研究方向Business & Economics
语种英语
出版者ELSEVIER SCIENCE INC
WOS记录号WOS:000816974900005
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/61223]  
专题中国科学院数学与系统科学研究院
通讯作者Ren, Yi-Shuai
作者单位1.Nanjing Audit Univ, Sch Finance, Nanjing, Peoples R China
2.Hunan Univ, Sch Publ Adm, Changsha, Peoples R China
3.Hunan Univ, Res Inst Digital Soc & Blockchain, Changsha, Peoples R China
4.Hunan Univ, Ctr Resource & Environm Management, Changsha, Peoples R China
5.Univ Auckland, Energy Ctr, Auckland, New Zealand
6.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
7.Hunan Univ, Res Ctr Peaking Carbon Emiss & Carbon Neutral, Changsha, Peoples R China
8.Hunan Univ, Business Sch, Changsha, Peoples R China
推荐引用方式
GB/T 7714		 Jiang, Yong,Ren, Yi-Shuai,Narayan, Seema,et al. Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2022,62:15.
APA Jiang, Yong,Ren, Yi-Shuai,Narayan, Seema,Ma, Chao-Qun,&Yang, Xiao-Guang.(2022).Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,62,15.
MLA Jiang, Yong,et al."Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 62(2022):15.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。