Research on the time-varying spillover effect of international crude oil price on China’s exchange rate
Based on the TVP-SV-VAR model, we study the dynamic spillover effect of crude oil price variation on China’s real effective exchange rate (REER) by introducing the economic policy uncertainty (EPU) and adopting monthly data from January 1995 to September 2021. Oil price fluctuations and EPU are corr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Elsevier
2022-09-01
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| Series: | Energy Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484722006278 |
| _version_ | 1811225028336812032 |
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| author | Ying Huang Fan Li |
| author_facet | Ying Huang Fan Li |
| author_sort | Ying Huang |
| collection | DOAJ |
| description | Based on the TVP-SV-VAR model, we study the dynamic spillover effect of crude oil price variation on China’s real effective exchange rate (REER) by introducing the economic policy uncertainty (EPU) and adopting monthly data from January 1995 to September 2021. Oil price fluctuations and EPU are correlated and affect China’s exchange rate movements. Empirical results show shocks to crude oil prices have dynamic negative spot impact on exchange rate movements, with the parameters of the spillover fluctuating between −0.2 and 0.05. The lagging impulse response results show a depreciation in the short-run, an appreciation in the medium-run but a variable long-run responses of China’s REER after an oil price shock. The spillover effects at specific time points show the same time varying characteristics. Chinese policy makers should take flexible measures to react the spillover diversity and minimize risks. |
| first_indexed | 2024-04-12T09:00:03Z |
| format | Article |
| id | doaj.art-01f66f5ec485427d881113ca47790a83 |
| institution | Directory Open Access Journal |
| issn | 2352-4847 |
| language | English |
| last_indexed | 2024-04-12T09:00:03Z |
| publishDate | 2022-09-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Energy Reports |
| spelling | doaj.art-01f66f5ec485427d881113ca47790a832022-12-22T03:39:16ZengElsevierEnergy Reports2352-48472022-09-018138148Research on the time-varying spillover effect of international crude oil price on China’s exchange rateYing Huang0Fan Li1Corresponding author.; Wuchang Shouyi University, 22 Nanli Road, Wuhan, Hubei, 430064, PR ChinaWuchang Shouyi University, 22 Nanli Road, Wuhan, Hubei, 430064, PR ChinaBased on the TVP-SV-VAR model, we study the dynamic spillover effect of crude oil price variation on China’s real effective exchange rate (REER) by introducing the economic policy uncertainty (EPU) and adopting monthly data from January 1995 to September 2021. Oil price fluctuations and EPU are correlated and affect China’s exchange rate movements. Empirical results show shocks to crude oil prices have dynamic negative spot impact on exchange rate movements, with the parameters of the spillover fluctuating between −0.2 and 0.05. The lagging impulse response results show a depreciation in the short-run, an appreciation in the medium-run but a variable long-run responses of China’s REER after an oil price shock. The spillover effects at specific time points show the same time varying characteristics. Chinese policy makers should take flexible measures to react the spillover diversity and minimize risks.http://www.sciencedirect.com/science/article/pii/S2352484722006278Oil priceExchange rateEconomic policy uncertaintyTVP-SV-VAR model |
| spellingShingle | Ying Huang Fan Li Research on the time-varying spillover effect of international crude oil price on China’s exchange rate Energy Reports Oil price Exchange rate Economic policy uncertainty TVP-SV-VAR model |
| title | Research on the time-varying spillover effect of international crude oil price on China’s exchange rate |
| title_full | Research on the time-varying spillover effect of international crude oil price on China’s exchange rate |
| title_fullStr | Research on the time-varying spillover effect of international crude oil price on China’s exchange rate |
| title_full_unstemmed | Research on the time-varying spillover effect of international crude oil price on China’s exchange rate |
| title_short | Research on the time-varying spillover effect of international crude oil price on China’s exchange rate |
| title_sort | research on the time varying spillover effect of international crude oil price on china s exchange rate |
| topic | Oil price Exchange rate Economic policy uncertainty TVP-SV-VAR model |
| url | http://www.sciencedirect.com/science/article/pii/S2352484722006278 |
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