In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017.In addition to linear causality tests,we employ quantile causality test to identify prior imperceptible causality in quantiles.We find a causal relationship from crude oil price to exchange rate at each quantile interval,but the reverse only appears in tail.This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other.Moreover,using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate,whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price.These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market.
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