In this paper, we examine the differences between CNY and other major currencies in coherence and the lead–lag relationship across the different time horizons to clarify whether crude oil, monetary factors, or both drive the movement of exchange rates. We employ partial and multiple wavelet coherence analyses to examine oil-exchange co-movement by excluding the influence of Federal Reserve System (FED) monetary policy — namely, the stance and uncertainty of monetary policy — and the difference in domestic and foreign monetary policy rates. Overall, we find that monetary easing by the FED is a major factor driving the co-movement. Specifically, after excluding the possible effects of monetary policy factors, the movement of the Euro exhibits the strongest and the Japanese yen the weakest dependence on crude oil price changes, whereas the British pound shows a moderate dependence. By contrast, the CNY shows strong co-movement with the crude oil price only over the long term implying the low degree of integration with the global markets. Our empirical results provide meaningful information for investors and policymakers.

中文翻译：

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从时域的角度重新审视“纯”换油协同运动

在本文中，我们研究了人民币与其他主要货币在不同时间范围内的一致性和领先滞后关系的差异，以阐明是原油、货币因素还是两者共同推动了汇率的变动。我们通过排除美联储货币政策（即货币政策的立场和不确定性）以及国内外货币政策利率差异的影响，采用部分和多重小波相干分析来检验石油交易的联动性. 总体而言，我们发现美联储的货币宽松政策是推动联动的主要因素。具体而言，在排除货币政策因素的可能影响后，欧元走势对原油价格变化的依赖性最强，日元走势最弱，而英镑则表现出适度的依赖。相比之下，人民币仅在长期内与原油价格表现出强烈的联动性，这意味着与全球市场的整合程度较低。我们的实证结果为投资者和政策制定者提供了有意义的信息。