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Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies
Energy Economics ( IF 13.6 ) Pub Date : 2023-03-23 , DOI: 10.1016/j.eneco.2023.106627
Ioannis Chatziantoniou , Ahmed H. Elsayed , David Gabauer , Giray Gozgor

This paper introduces a novel framework of partial connectedness measures to investigate contagion dynamics between different types of oil price shocks and exchange rates. Oil price shocks are persistent net transmitters of shocks within the network. It is found that the oil shock net spillovers made up most of the net connectedness values in most countries during the pre-COVID-19 period. Both oil exporters and oil importers, without any exception, were all net receivers of shocks. However, during the COVID-19 era, there were significant differences within the groups of countries. It is also observed that the oil-risk shock transmits to the other two types of oil shocks in the pre-COVID-19 and during the COVID-19 periods. The results may have potential implications for traders.



中文翻译:

石油价格冲击和汇率动态:来自石油进出口经济体的分解和部分连通性措施的证据

本文介绍了一种新颖的部分连通性度量框架,以研究不同类型的油价冲击和汇率之间的传染动力学。油价冲击是网络内冲击的持续净传输器。结果发现,在 COVID-19 之前的时期,石油冲击净溢出效应构成了大多数国家的大部分净连通值。石油出口国和石油进口国无一例外都是冲击的净承受者。然而,在 COVID-19 时代,国家集团内部存在显着差异。还观察到,在 COVID-19 之前和 COVID-19 期间,石油风险冲击会传递给其他两种类型的石油冲击。结果可能对交易者有潜在影响。

更新日期:2023-03-28
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