A new look at the oil prices and exchange rates nexus: a quantile cointegrating regression approach to south korea

The present article contributes to the existing research by applying a quantile autoregressive distributed lag (QARLD) method to investigate whether the locational asymmetries across quantiles exist between oil prices and the real exchange rate for an oil-importer, specifically South Korea (KRW). We discover that the oil price impacts are heterogeneous across quantiles and evidence of locational asymmetry in the short run. In the long run, however, there is little evidence of significant oil price impacts across quantiles and of locational asymmetry.