On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?

Has COVID-19 intensified the oil price–exchange rate nexus?

“…Among them, Zhang et al (2008) and Ding and Vo (2012) found no evidence of significant volatility spillovers in the pre-crisis period. On the other hand, Salisu and Mobolaji (2013) and Jawadi et al (2016) found evidence of bidirectional volatility spillover and unidirectional spillover from exchange rate to oil market, respectively, in the case of U.S. Ahmad et al (2020) find evidence of negative impact of oil jumps on exchange rate volatility but an asymmetric impact of exchange rate volatility on oil jumps. Interestingly, Narayan et al (2008) and Ghosh (2011) examined the impact of exchange rate volatility on exchange rate return but found no significant impact.…”

“…Given the theoretical backdrop, a large number of empirical studies have been conducted till date. Majority of the empirical literature have focused on the returns of the two series ( Amano and Van Norden, 1998b , Akram, 2009 , Blomberg and Harris, 1995 , Reboredo, 2012 , Sadorsky, 2000 , Turhan et al, 2014 , Zhang et al, 2008 ), only a few have analyzed the ‘volatility spillover’ ( Ding and Vo, 2012 , Salisu and Mobolaji, 2013 , Zhang et al, 2008 ) and ‘return-volatility’ interactions ( Ahmad et al, 2020 , Jawadi et al, 2016 , Narayan et al, 2008 , Ghosh, 2011 ) across these financial markets. Zhang et al (2008) argued that since the US dollar is used as the major invoicing currency in international trade of crude oil hence there could be significant volatility spillovers within the two markets.…”

Bubbles in Crude Oil and Commodity Energy Index: New Evidence

“…The most energy commodity product is oil, which is a significant indicator of economic growth. Ahmad et al [2] report that crude oil is a vital input for driving global economic growth, and oil price shocks can jeopardize this growth prospect. According to Zhang and Yao [3], "oil prices have experienced drastic fluctuations.…”

Modelling oil price shocks and exchange rate behaviour in Nigeria – A regime‐switching approach

“…A few other studies found evidence that the fluctuations in the global price of oil lead to exchange rate appreciations in some economies without recourse to their trade profiling. These studies include those that are targeted at net exporting countries (such as Delgado et al, 2018; Ologbenla, 2020; Kutu et al, 2021; Mukhtarov et al, 2021; Singal et al, 2019; Suliman & Abid, 2020; among others) and net importing countries (such as Ahmad et al, 2020; Hung, 2019; Liu et al, 2020; and others). Those that combined both classifications include He and Hamori (2019); Tiwari et al (2019); Jiang et al (2020); Chkir et al (2020); Nandelenga and Simpasa (2020); Yildirim and Arifli (2020); Villareal‐Samaniego (2021); Aimer and Lusta (2021); and others.…”