In this paper, we investigate the impact of oil price changes on exchange rates in some oil-related economies. Financial contagion effects during recent oil price shocks are also examined. We employ a novel approach based on the Markov regime switching -quantile regression model to allow oil prices to switch between different regimes. Our results show that the impact of oil price changes on exchange rate markets varies in significance, size, and sign through the distribution of exchange rate returns. Furthermore, the response of currency markets to oil price fluctuations changes among countries and oil price regimes, and are stronger during high volatility regimes. Moreover, financial contagion is detected during the oil price shock of 2007 by the dramatic increase of interdependence between oil and all currency markets, except for Japan. However, during the mid-2014 oil price collapse, contagion effects are detected only for the Australian currency market.

在本文中，我们研究了一些石油相关经济体中石油价格变化对汇率的影响。还考察了近期油价震荡期间的金融传染效应。我们采用基于马尔可夫政权转换-分位数回归模型的新颖方法，以允许油价在不同政权之间转换。我们的结果表明，石油价格变化对汇率市场的影响在重要性，规模和通过汇率收益分布的变化上都有所不同。此外，货币市场对油价波动的反应在国家和油价制度之间变化，并且在高波动性制度下更强。此外，在2007年石油价格震荡期间，石油与所有货币市场（日本除外）之间的相互依赖性急剧增加，就发现了金融危机。然而，