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首页> 外文期刊>The North American journal of economics and finance >Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches
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Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches

机译：参观油价冲击对汇率的影响：定位对数量和因果关系的方法

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摘要

We employ the relatively novel quantile-on-quantile and causality-in-quantiles approaches to empirically address the effects of oil price shocks on exchange rates of developed and developing countries. We find the evidence of the effects of oil shocks on exchange rates vary across quantiles. In addition, the effects and causality of oil price shocks are asymmetric and the slope of the coefficient in quantile-on-quantile analysis shows a relatively extreme fluctuation. Furthermore, for the developed currencies, the Granger causal relationship in both the mean and the variance running from oil shocks to exchange rates is always evident at all quantiles, while for the developing countries, the causal flow in the first and second moments is insignificant at middle quantiles.
机译：我们采用了相对新的定量线和因果关系，以凭经验地解决了油价冲击对发达国家和发展中国家汇率的影响。我们发现对汇率变化的汇率对汇率影响的证据。此外，油价冲击的效果和因果关系是不对称的，分量对定量分析系数的斜率显示出相对极端的波动。此外，对于发达的货币，在汇率的平均值和差异中的均值和差异中的格兰杰因果关系始终是明显的，而对于发展中国家，第一个和第二次时刻的因果流动是微不足道的中量值。

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