Research on the time-varying spillover effect of international crude oil price on China’s exchange rate

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...

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Bibliographic Details
Main Authors:	Ying Huang, Fan Li
Format:	Article
Language:	English
Published:	Elsevier 2022-09-01
Series:	Energy Reports
Subjects:	Oil price Exchange rate Economic policy uncertainty TVP-SV-VAR model
Online Access:	http://www.sciencedirect.com/science/article/pii/S2352484722006278

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