We study the dynamic connectedness and predictive causality between oil prices and exchange rates. Our sample includes six important oil‐producing and six net importing countries. Our results show that for the first set of countries, oil prices are net spillover receivers from exchange rate markets. Similarly, there is evidence of bidirectional Granger causality, which is detected for longer time periods from these countries’ exchange rates to oil prices. In contrast, for the second set of countries, oil prices are net spillover transmitters, and the causality is stronger from oil prices to exchange rates, mainly in the aftermath of the Global Financial Crisis. However, even for this group of countries, there are long periods of time for which exchange‐rate markets transmit spillovers to oil markets. Overall, oil markets are net receivers of shocks during most of the sample period, thus providing evidence in favor of the oil‐financialization hypothesis.

中文翻译：

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给予和接受：探讨油价和汇率之间的预测因果关系

我们研究了油价与汇率之间的动态联系和预测因果关系。我们的样本包括六个重要的产油国和六个净进口国。我们的结果表明，对于第一个国家/地区，石油价格是汇率市场的净溢出接收者。同样，也有双向格兰杰因果关系的证据，从这些国家的汇率到石油价格，在较长的时间范围内都可以发现这种因果关系。相反，对于第二组国家，石油价格是净溢出溢出的传递者，从石油价格到汇率的因果关系更强，主要是在全球金融危机之后。但是，即使对于这组国家，汇率市场也有很长一段时间会向石油市场传递溢出效应。总体，