The asymmetric effects of oil prices on the exchange rate in BRICS: evidence from an advanced quantile approach

This paper employs a novel quantile-on-quantile (QQ) method to analyse the asymmetric effects of crude oil prices on the exchange rates of BRICS countries, utilizing monthly data from January 1994 to December 2023. The results reveal that oil prices have a generally positive influence on the exchange rate in Russia, while in South Africa, the impact is predominantly negative. The effects of oil prices on exchange rates among the BRICS countries vary significantly based on specific quantile combinations. For Russia and South Africa, the strength of this effect is notably different. In the cases of China and India, a negative exchange rate response to oil prices can be found in the area that combines high quantiles of exchange rate with low quantiles of oil prices. Overall, crude oil prices' impact on exchange rates is asymmetrical across the quantile distributions for BRICS countries. These insights deepen our understanding of how fluctuations in oil prices shape economic dynamics in emerging markets, offering valuable guidance for policymakers and stakeholders in their strategic responses to global energy market changes.