This study investigates the dynamic relationship between exchange rates and oil prices using a time-varying parameter VAR extended joint connectedness model and the generalized connectedness approach. The findings reveal time-varying pairwise and total connectedness between these variables, with stronger connections observed in oil-exporting countries and heightened interconnectedness during crisis periods. However, the methods yielded inconsistent results across different countries, highlighting the complex and dynamic nature of this relationship.
Publisher
Humanities and Social Sciences Communications
Published On
Jun 24, 2024
Authors
Shiying Chen, Bisharat Hussain Chang, Hu Fu, ShiQi Xie
Tags
exchange rates
oil prices
connectedness
time-varying parameters
economic crisis
oil-exporting countries
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