Crude oil price and exchange rate: Evidence from the period before and after the launch of China's crude oil futures

Time-varying causality between oil price and exchange rate in five ASEAN economies

“…In this study, the sensitivity of the nominal EXR of five Asian countries, namely Thailand, Indonesia, Malaysia, Philippines, and Singapore, to Brent and WTI OPR are analyzed with the Time-Varying Causality tests proposed by Shi et al ( 2018 , 2020 ). Following (Reboredo and Rivera-Castro ( 2013 ); Sun et al ( 2022 ), data on the nominal EXR for Philippine Pesos was collected from Bangko Sentral ng Pilipinas BSP ( 2022 ) and the Singapore Dollars, Thai Baht, Malaysian Ringgits, Indonesian Rupiahs were sourced from the Federal Reserve Economic Data (FRED 2022 ). Brent crude oil data were obtained from US Energy Information Administration (EIA 2022 ) following Sarwar et al ( 2020 ); Saidu et al ( 2021 ).…”

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

“…As the most essential energy in the world, crude oil is important for national economy and social stability [1] , [2] . However, the internal & external influence, including oil supply and demand, global economic fundamentals, financial crisis, major public health affairs, geopolitical conflicts and so on, may cause extreme swings in the crude markets [3] , [4] , [5] , [6] .…”