How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic

In this paper, we use a shock spillover index to test the hypothesis that oil prices helped shape exchange rate behavior during the COVID-19 period. We use four exchange rates (CAD, EURO, JPY, and GBP vis-`a-vis the USD) together with the oil price variable to test the importance of both return and volatility spillovers. Using hourly data, we consistently discover that both oil price return and volatility spillovers have become more important in explaining exchange rates in the COVID-19 period.

Automated summary

This paper uses a shock spillover index to examine the impact of oil prices on exchange rate behavior during the COVID-19 period. The findings consistently indicate that both the return and volatility spillovers of oil prices have become more important in explaining exchange rate movements during this period.