How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic

被引：3
作者：
Li, Kaifeng [1 ]
Devpura, Neluka [2 ]
Cheng, Sijia [3 ,4 ]
机构：
[1] China Univ Min & Technol, Sch Econ & Management, Beijing, Peoples R China
[2] Univ Sri Jayewardenapura, Fac Appl Sci, Dept Stat, Nugegoda, Sri Lanka
[3] Zhongnan Univ Econ & Law, Nanning, Peoples R China
[4] Wuhan Guangxi Univ Finance & Econ, Nanning, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2022年 / 75卷
关键词：
COVID-19; Volatility; Returns; Exchange rate; EXCHANGE-RATE; VOLATILITY SPILLOVERS; CONNECTEDNESS; COUNTRIES; LINKAGES; MARKET; RETURN;
D O I：
10.1016/j.pacfin.2022.101857
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we use a shock spillover index to test the hypothesis that oil prices helped shape exchange rate behavior during the COVID-19 period. We use four exchange rates (CAD, EURO, JPY, and GBP vis-`a-vis the USD) together with the oil price variable to test the importance of both return and volatility spillovers. Using hourly data, we consistently discover that both oil price return and volatility spillovers have become more important in explaining exchange rates in the COVID-19 period.
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页数：16
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