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dc.contributor.authorAlam, M. S.
dc.contributor.authorFerrer, Roman
dc.contributor.authorShahzad, Syed Jawad Hussain
dc.date.accessioned2019-09-26T07:51:51Z
dc.date.available2019-09-26T07:51:51Z
dc.date.issued2019-09-10
dc.identifier.citationAlam, M.S., Shahzad, S.J.H. and Ferrer, R. (2019) Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility. Energy Economics, pp.104513.en
dc.identifier.urihttps://dora.dmu.ac.uk/handle/2086/18517
dc.descriptionThe file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.en
dc.description.abstractThis paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special attention is paid to the potential asymmetries in the causal effects between oil and forex markets. The wavelet-based Granger causality method proposed by Olayeni (2016) is applied to quantify the causal relations in the time and frequency domains simultaneously. Moreover, the realized semivariance approach of Barndoff-Nielsen et al. (2010) is used to account for possible asymmetries in the transmission of volatility shocks. The empirical results show that the significant causal links between oil prices and exchange rates are mainly concentrated in the long-run and during periods of increased economic and financial uncertainty such as the global financial crisis and the subsequent European sovereign debt crisis. Further, the causal effects from currency markets to the crude oil market are stronger than in the opposite direction, consistent with the forward-looking nature of exchange rates, the role of the U.S. dollar as the key invoicing currency for global oil trading and the expanding financialization of the oil market since the mid-2000s. In addition, significant asymmetries coming from good and bad volatility are found at longer horizons. Specifically, bad volatility seems to dominate good volatility in terms of the importance of transmission of volatility shocksen
dc.language.isoenen
dc.publisherElsevieren
dc.subjectcrude oil pricesen
dc.subjectexchange ratesen
dc.subjecthigh-frequency dataen
dc.subjectrealized volatilityen
dc.subjectGranger causalityen
dc.subjectwavelet analysisen
dc.subjectasymmetryen
dc.subjectgood and bad volatilityen
dc.titleCausal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatilityen
dc.typeArticleen
dc.identifier.doihttps://doi.org/10.1016/j.eneco.2019.104513
dc.peerreviewedYesen
dc.funderNo external funderen
dc.cclicenceCC-BY-NCen
dc.date.acceptance2019-09-04
dc.researchinstituteInstitute for Applied Economics and Social Value (IAESV)en


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