Volatility spillover effect between oil prices and foreign exchange markets
This research examines empirically volatility spillover effect of oil prices on exchange rate. We are specifically concerned with the comparison of the relative magnitude of the oil shock on the exchange rate volatilities of 5 major oil importers (Pakistan, India, China, Japan, and Germany) and 5 ma...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-11-01
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| Series: | Energy Strategy Reviews |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2211467X21000985 |