期刊
ENERGY ECONOMICS
卷 49, 期 -, 页码 227-238出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2015.01.027
关键词
Oil price shocks; Exchange rates; Vector autoregressive (VAR) models
类别
The paper argues that exchange rates respond asymmetrically to different shocks to the crude oil market. We apply Kilian's (2009) methodology to disentangle shocks to the crude oil market into distinct demand and supply shocks, and examine the response of the U.S. real and nominal trade-weighted U.S. dollar exchange rate indexes, as well as six other bilateral exchange rates to these shocks. Our analysis indicates that oil supply shocks have no significant effects on exchange rates, while global aggregate demand and oil-specific demand shocks lead to depreciations. We further show that exchange rates respond asymmetrically to shocks in the crude market depending on whether the shocks are large versus small, or positive versus negative. (c) 2015 Elsevier B.V. All rights reserved.
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