SavedAdd your journal

Journals / Ekonomi Politika ve Finans Araştırmaları Dergisi / 2026 / Cilt: 10 Sayı: 3

Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective

Petrol ve Euro Piyasaları Arasındaki Politomik Yayılım Dinamikleri: Yüksek Frekanslı Bir Perspektif

Erdost Torun(DOKUZ EYLUL UNIVERSITY)0000-0002-0946-2813
Pages
1143–1172
Publication Date
2025-09-30
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The findings reveal a significant spillover mechanism operating between commodity and foreign exchange markets during periods of economic instability.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the short-term relationship between daily West Texas Intermediate (WTI) oil prices and the Euro exchange rate (EUR) during the 2020–2024 period, which was marked by the COVID-19 pandemic and economic fluctuations.
📊
Key Findings & Data:The findings reveal a significant spillover mechanism operating between commodity and foreign exchange markets during periods of economic instability.
💡
Conclusion & Impact:By providing a detailed analysis of high-frequency market interactions, this study contributes to the literature and offers practical implications for investors, portfolio managers, and policymakers involved in short-term trading and risk management in increasingly interconnected financial markets, particularly in Europe, a major net oil importer.
🔬Design:Araştırma Makalesi
📍Scope:2020–2024 Verileri
⚙️Variables:Finansal Piyasalar · Dalgacık Analizi · Bulaşma Etkisi

Abstract

This study investigates the short-term relationship between daily West Texas Intermediate (WTI) oil prices and the Euro exchange rate (EUR) during the 2020–2024 period, which was marked by the COVID-19 pandemic and economic fluctuations. A comprehensive wavelet-based framework, including powerful tests such as phase difference, gain, coherence, correlation, and causality measures based on continuous wavelet transform, was employed. The findings reveal a significant spillover mechanism operating between commodity and foreign exchange markets during periods of economic instability. As uncertainty intensifies with market turmoil, spillover effects become more pronounced, highlighting the importance of using market dynamics and volatility information effectively in hedging strategies. The study demonstrates that multidimensional (politomic) analyses provide more realistic findings than binary (dichotomic) approaches. These results emphasize the critical importance for policymakers to monitor intermarket connections during systemic shocks. By providing a detailed analysis of high-frequency market interactions, this study contributes to the literature and offers practical implications for investors, portfolio managers, and policymakers involved in short-term trading and risk management in increasingly interconnected financial markets, particularly in Europe, a major net oil importer.

Özet

Bu çalışma, COVID-19 pandemisi ve ekonomik dalgalanmaların etkili olduğu 2020–2024 döneminde günlük West Texas Intermediate (WTI) petrol fiyatları ile Euro döviz kuru (EUR) arasındaki kısa vadeli ilişkiyi araştırmaktadır. Sürekli dalgacık dönüşümüne dayalı faz farkı, kazanç, bağdaşım, korelasyon ve nedensellik ölçütleri gibi güçlü testleri içeren kapsamlı bir dalgacık temelli çerçeve kullanılmıştır. Bulgular, ekonomik istikrarsızlık dönemlerinde emtia ve döviz piyasaları arasında anlamlı bir bulaşma mekanizmasının işlediğini gösteriyor. Belirsizlik arttıkça bulaşma etkileri yoğunlaşmakta, bu da riskten korunma stratejilerinde piyasa dinamikleri ve oynaklık bilgilerinin etkin kullanımının önemini vurgulamaktadır. Çalışma, ikili (dikotomik) yaklaşımlar yerine çok boyutlu (politomik) analizlerin daha gerçekçi bulgular sağladığını ortaya koymaktadır. Bu bulgular, politika yapıcıların sistemik şoklar sırasında piyasalar arası bağlantıları izlemesinin kritik önemde olduğunu vurgulamaktadır. Yüksek frekanslı piyasa etkileşimlerinin detaylı analizini sunarak literatüre katkıda bulunan bu çalışma, başta büyük bir net petrol ithalatçısı olan Avrupa olmak üzere, birbirine bağlı finans piyasalarında kısa vadeli alım satım ve risk yönetimiyle ilgilenen yatırımcılar, portföy yöneticileri ve politika yapıcılar için pratik çıkarımlar sunmaktadır.

🔖

Cite This Article

Torun, E. (2025). Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective. Ekonomi Politika ve Finans Araştırmaları Dergisi, Cilt: 10 Sayı: 3, 1143–1172. https://doi.org/10.30784/epfad.1725285

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (93)

  1. Abubakar, A.B. (2019). Oil price and exchange rate. nexus in Nigeria: Are there asymmetries. CBN Journal of Applied Statistics (JAS), 10(1), 1-28. https://doi.org/10.33429/Cjas.10119.1/6
  2. Aguiar-Conraria, L., Martins, M.M. and Soares, M.J. (2012). The yield curve and the macro-economy across time and frequencies. Journal of Economic Dynamics and Control, 36(12), 1950-1970. https://doi.org/10.1111/joes.12012
  3. Aguiar-Conraria, L., Martins, M.M. and Soares, M.J. (2018). Estimating the Taylor rule in the time-frequency domain. Journal of Macroeconomics, 57, 122-137. https://doi.org/10.1016/j.jmacro.2017.11.006
  4. Aguiar-Conraria, L. and Soares, M.J. (2014). The continuous wavelet transform: Moving beyond uni- and bivariate analysis. Journal of Economic Surveys, 28(2), 344-375. https://doi.org/10.1111/joes.12012
  5. Ahmad, A.H. and Hernandez, R.M. (2013). Asymmetric adjustment between the crude oil price and exchange rates: Empirical evidence from major oil producers and consumers. Journal of International Financial Markets, Institutions and Money, 27, 306–317. https://doi.org/10.1016/j.intfin.2013.07.005
  6. Ahmad, W., Sehgal, S. and Bhanumurthy, N.R. (2013). Eurozone crisis and BRIICKS stock markets: contagion or market interdependence? Economic Modelling, 33, 209-225. https://doi.org/10.1016/j.econmod.2013.04.009
  7. Akram, Q.F. (2009). Commodity prices, interest rates and the dollar. Energy Economics, 31(6), 838-851. https://doi.org/10.1016/j.eneco.2009.05.007
  8. Al Rasasi, M. (2018). The response of G7 real exchange rates to Oil Price Shocks. International Journal of Economics and Finance, 10(4), 191-205. https://doi.org/10.5539/ijef.v10n4p191
  9. Alam, M.S., Shahzad, S.J.H. and Ferrer, R. (2019). Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility. Energy Economics, 84, 336-354. https://doi.org/10.1016/j.eneco.2019.01.015
  10. Albulescu, C.T., Goyeau, D. and Tiwari, A.K. (2017). Co-movements and contagion between international stock index futures markets. Empirical Economics, 52, 1529-1568. https://doi.org/10.1007/s00181-017-1291-8
  11. Altarturi, B.H., Alshammri, A.A., Hussin, T.M.T.T. and Saiti, B. (2016). Oil price and exchange rates: A wavelet analysis for organisation of oil exporting countries members. International Journal of Energy Economics and Policy, 6(3), 421-430. Amano, R.A. and Norden, S.V. (1998a). Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance, 17(2), 299-316. https://doi.org/10.1016/S0261-5606(98)00004-7
  12. Amano, R.A. and Norden, S.V. (1998b) Exchange rates and oil prices. Review of International Economics, 6, 683-694. https://doi.org/10.1111/1467-9396.00136
  13. Arouri, M.E.H., Lahiani, A. and Nguyen, D.K. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling, 28(4), 1815-1825. https://doi.org/10.1016/j.econmod.2011.07.006
  14. Aziz, M.I.A. and Bakar, A. (2009, August). Oil price and exchange rate: A comparative study between net oil exporting and net oil importing countries. Paper presented at the ESDS international annual conference, London. Retrieved from https://dam.ukdataservice.ac.uk/media/263110/aziz-paper.pdf
  15. Backus, D.K. and Crucini, M.J. (2000). Oil prices and the terms of trade. Journal of International Economics, 50(1), 185-213. https://doi.org/10.1016/S0022-1996(98)00064-6
  16. Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40(2), 373-401. https://doi.org/10.1017/S0022109000019253
  17. Balcilar, M., Gupta, R. and Miller, S.M. (2015). Regime switching model of U.S. crude oil and stock market prices: 1859 to 2013. Energy Economics, 49, 317-327. https://doi.org/10.1016/j.eneco.2015.01.026
  18. Baur, D.G. and Lucey, B.M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  19. Beckmann, J., Czudaj, R. (2013). Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters? Energy Economics, 40 (1), 665–678. https://doi.org/10.1016/j.eneco.2013.08.007
  20. Beckmann, J., Czudaj, R.L. and Arora, V. (2020). The relationship between oil prices and exchange rates: Revisiting theory and evidence. Energy Economics, 88, 104772, 1-12. https://doi.org/10.1016/j.eneco.2020.104772
  21. Benhmad, F. (2012). Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach. Economic Modelling, 29, 1505–1514. https://doi.org/10.1016/j.econmod.2012.01.003
  22. Bodenstein, M., Erceg, C.J. and Guerrieri, L. (2011). Oil shocks and external adjustment. Journal of International Economics, 83(2), 168-184. https://doi.org/10.1016/j.jinteco.2010.10.006
  23. Breitenfellner, A. and Cuaresma, J.C. (2008). Crude oil prices and the USD/EUR exchange rate. Monetary Policy and the Economy, 4(8), 102-121. Retrieved from https://www.oenb.at/
  24. Buetzer, S., Habib, M.M. and Stracca, L. (2016). Global exchange rate configurations: Do oil shocks matter? IMF Economic Review, 64 (3), 443–470. https://doi.org/10.1057/imfer.2016.9
  25. Camarero, M. and Tamarit, C. (2002). Oil prices and Spanish competitiveness: A cointegrated panel analysis. Journal of Policy Modeling, 24(6), 591-605. https://doi.org/10.1016/S0161-8938(02)00123-0
  26. Cazelles, B., Chavez, M., Berteaux, D., Ménard, F., Vik, J.O., Jenouvrier, S. and Stenseth, N.C. (2008). Wavelet analysis of ecological time series. Oecologia, 156, 287-304. https://doi.org/10.1007/s00442-008-0993-2
  27. Chen, S.-S. and Chen, H.-C. (2007). Oil price and real exchange rates. Energy Economics, 29, 390–404. https://doi.org/10.1016/j.eneco.2006.09.007
  28. Chen, X., Sun, X. and Wang, J. (2019). Dynamic spillover effect between oil prices and economic policy uncertainty in BRIC countries: A wavelet-based approach. Emerging Markets Finance and Trade, 55(12), 2703-2717. https://doi.org/10.1080/1540496X.2019.1672144
  29. Chen, Y.C., Rogoff, K.S. and Rossi, B. (2010). Can exchange rates forecast commodity prices? The Quarterly Journal of Economics, 125(3), 1145-1194. https://doi.org/10.1162/qjec.2010.125.3.1145
  30. Cifarelli, G. and Paladino, G. (2010). Oil price dynamics and speculation: A multivariate financial approach. Energy Economics, 32(2), 363–372. https://doi.org/10.1016/j.eneco.2009.10.003
  31. Coudert, V. and Mignon, V. (2016). Reassessing the empirical relationship between the oil price and the dollar. Energy Policy, 95, 147-157. https://doi.org/10.1016/j.enpol.2016.04.012
  32. Czudaj, R.L. (2019). Crude oil futures trading and uncertainty. Energy Economics, 80, 793-811. https://doi.org/10.1016/j.eneco.2019.01.002
  33. Dacorogna, M.M, Gençay, R., Muller, U., Olsen, R.B. and Pictet, O.V. (2001). An introduction to high-frequency finance. USA: Academic Press.
  34. Dai, Z., Zhu, J. and Zhang, X. (2022). Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment. Energy Economics, 114, 106226. https://doi.org/10.1016/j.eneco.2022.106226
  35. De Schryder, S. and Peersman, G. (2016). The U.S. dollar exchange rate. and the demand for oil. The Energy Journal, 37(1), 90-114. https://doi.org/10.5547/01956574.37.1.ssch
  36. Dhamala, M., Rangarajan, G. and Ding, M. (2008). Estimating Granger causality from Fourier and wavelet transforms of time series data. Physical Review Letters, 100(1), 018701. https://doi.org/10.1103/PhysRevLett.100.018701
  37. Ding, L. and Vo, M. (2012). Exchange rates and the crude oil price: A multivariate stochastic volatility analysis. The Quarterly Review of Economics and Finance, 52(1), 15–37. https://doi.org/10.1016/j.qref.2011.10.004
  38. Engel, C. and West, K.D. (2005). Exchange rates and fundamentals. Journal of Political Economy, 113(3), 485-517. https://doi.org/10.1086/429137
  39. Engle, R.F. (1974). Interpreting spectral analyses in terms of time-domain models (NBER Paper No. w0037). https://doi.org/10.3386/W0037
  40. Ewing, B.T., Malik, F. and Ozfidan, O. (2002). Volatility transmission in the oil and natural gas markets. Energy Economics, 24(6), 525-538. https://doi.org/10.1016/S0140-9883(02)00068-7
  41. Flavin, T.J. and Sheenan, L. (2015). The role of US subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence? The North American Journal of Economics and Finance, 34, 167-186. https://doi.org/10.1016/j.najef.2015.05.003
  42. Forbes, K.J. and Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. The Journal of Finance, 57(5), 2223-2261. https://doi.org/10.1111/1540-6261.00417
  43. Frankel, J. (2006). On the yuan: The choice between adjustment under a fixed exchange rate and adjustment under a flexible rate. CESifo Economic Studies, 52(2), 246-275. https://doi.org/10.1093/cesifo/ifl004
  44. Golub, S.S. (1983). Oil prices and exchange rates. The Economic Journal, 93(371), 576–593. https://doi.org/10.2307/2232396
  45. Grossmann, A. and Morlet, J. (1984). Decomposition of Hardy functions into square integrable wavelets of constant shape. SIAM Journal on Mathematical Analysis, 15(4), 723-736. https://doi.org/10.1137/0515045
  46. Gulko, L. (2002). Decoupling. The Journal of Portfolio Management, 28(3), 59–66. https://doi.org/10.3905/jpm.2002.319358
  47. Huang, P.K. (2012). Volatility transmission across stock index futures when there are structural changes in return variance. Applied Financial Economics, 22(19), 1603-1613. https://doi.org/10.1080/09603107.2011.649727
  48. Huang, Y. and Feng, G.U.O. (2007). The role of oil price shocks on China's real exchange rate. China Economic Review, 18(4), 403-416. https://doi.org/10.1016/j.chieco.2006.02.003
  49. Indjehagopian, J.P., Lantz, F. and Simon, V. (2000). Dynamics of heating oil market prices in Europe. Energy Economics, 22(2), 225-252. https://doi.org/10.1016/S0140-9883(99)00039-0
  50. Jammazi, R. (2012). Cross dynamics of oil-stock interactions: A redundant wavelet analysis. Energy, 44(1), 750-777. https://doi.org/10.1016/j.energy.2012.05.026
  51. Jiang, Z., Hernandez, J.A., McIver, R.P. and Yoon, S.M. (2022). Nonlinear dependence and spillovers between currency markets and global financial market variables. Systems, 10(3), 80. 1-19. https://doi.org/10.3390/systems10030080
  52. Jung, R.C. and Maderitsch, R. (2014). Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? Journal of Banking and Finance, 47, 331-342. https://doi.org/10.1016/j.jbankfin.2014.06.010
  53. Khalfaoui, R., Boutahar, M. and Boubaker, H. (2015). Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis. Energy Economics, 49, 540-549. https://doi.org/10.1016/j.eneco.2015.02.019
  54. Khalifa, A.A., Miao, H. and Ramchander, S. (2011). Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. Journal of Futures Markets, 31(1), 55-80. https://doi.org/10.1002/fut.20307
  55. Kilian, L. and Park, C. (2009). The impact of oil price shocks on the U.S. stock market. International Economic Review, 50(4), 1267-1287. https://doi.org/10.1111/j.1468-2354.2009.00568.x
  56. Korhonen, I. and Juurikkala, T. (2009). Equilibrium exchange rates in oil-exporting countries. Journal of Economics and Finance, 33(1), 71–79. https://doi.org/10.1007/s12197-008-9030-1
  57. Krichene, N. (2005). A simultaneous equations model for world crude oil and natural gas markets (IMF Working Paper No. 05/32). https://doi.org/10.5089/9781451851928.001
  58. Krugman, P. (1983). Oil and the dollar in Economic interdependence and flexible exchange rates. Economic interdependence and flexible exchange-rates. Cambridge: MIT Press.
  59. Lizardo, R.A. and Mollick, A.V. (2010). Oil price fluctuations and U.S. dollar exchange rates. Energy Economics, 32(2), 399–408. https://doi.org/10.1016/j.eneco.2009.09.002
  60. Mandler, M. and Scharnagl, M. (2014). Money growth and consumer price inflation in the Euro Area: A wavelet analysis (Bundesbank Discussion Paper No. 33/2014). https://doi.org/10.2139/ssrn.2797012
  61. Mensi, W., Aslan, A., Vo, X.V. and Kang, S.H. (2023). Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications. International Review of Economics and Finance, 83, 219-232. https://doi.org/10.1016/j.iref.2023.07.013
  62. Naccache, T. (2011). Oil price cycles and wavelets. Energy Economics, 33(2), 338-352. https://doi.org/10.1016/j.eneco.2010.08.018
  63. Olayeni, O.R. (2016). Causality in continuous wavelet transform without spectral matrix factorization: Theory and application. Computational Economics, 47(3), 321-340. https://doi.org/10.1007/s10614-015-9510-1
  64. Opoku, R.T., Adam, A.M., Isshaq, Z.M. and Owusu Junior, P. (2023). Time-varying connectedness and contagion between commodity prices and exchange rate in Sub-Saharan Africa. Cogent Economics and Finance, 11(2), 2237714, 1-31. https://doi.org/10.1080/23322039.2023.2237714
  65. Ozturk, M. and Cavdar, S.C. (2021). The contagion of COVID-19 pandemic on the volatilities of international crude oil prices, gold, exchange rates and Bitcoin. The Journal of Asian Finance, Economics and Business, 8(3), 171-179. https://doi.org/10.13106/jafeb.2021.vol8.no3.0171
  66. Pal, D. and Mitra, S.K. (2020). Time-frequency dynamics of return spillover from crude oil to agricultural commodities. Applied Economics, 52(49), 5426-5445. https://doi.org/10.1080/00036846.2020.1722560
  67. Rasasi, M.A. (2017). Oil prices and GCC exchange rates. Energy Sources, Part B: Economics, Planning, and Policy, 12(4), 344-350. https://doi.org/10.1080/15567249.2015.1132284
  68. Rautava, J. (2004). The role of the crude oil price and the real exchange rate in Russia's economy-A cointegration approach. Journal of Comparative Economics, 32(2), 315–327. https://doi.org/10.1016/j.jce.2004.05.001
  69. Reboredo, J.C. (2012). Modelling oil price and exchange rate co-movements. Journal of Policy Modeling, 34(3), 419–440. https://doi.org/10.1016/j.jpolmod.2012.02.005
  70. Reboredo, J.C. and Rivera-Castro, M.A. (2013). A wavelet decomposition approach to crude oil price and exchange rate dependence. Economic Modelling, 32, 42-57. https://doi.org/10.1016/j.econmod.2013.01.005
  71. Rösch, A. and Schmidbauer, H. (2018). WaveletComp 1.1: A guided tour through the R package. Retrieved from https://cran.r-project.org/web/packages/WaveletComp/index.html
  72. Rua, A. (2013). Worldwide synchronization since the nineteenth century: A wavelet-based view. Applied Economics Letters, 20(8), 773-776. https://doi.org/10.1080/13504851.2012.752388
  73. Sadorsky, P. (2000). The empirical relationship between energy futures prices and exchange rates. Energy Economics, 22(2), 253–266. https://doi.org/10.1016/S0140-9883(99)00023-6
  74. Saiti, B., Ali, A., Abdullah, N. and Sajilan, S. (2014). Palm oil price, exchange rate, and stock market: A wavelet analysis on the Malaysian market. Eurasian Journal of Economics and Finance, 2(1), 13–27. https://doi.org/10.17015/ejef.2014.00201.02
  75. Sari, R., Hammoudeh, S. and Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351–362. https://doi.org/10.1016/j.eneco.2009.10.008
  76. Tayeb, H. and Masih, M. (2018). The lead lag relationship between oil prices and exchange rate. in an oil importing country: Evidence from Thailand using ARDL (MPRA Paper No. 94197). Retrieved from https://mpra.ub.uni-muenchen.de/94197/
  77. Tian, S. and Hamori, S. (2016). Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States. North American Journal of Economics and Finance, 38, 163–171. https://doi.org/10.1016/j.najef.2016.01.002
  78. Tien, H.T. and Hung, N.T. (2022). Volatility spillover effects between oil and GCC stock markets: A wavelet-based asymmetric dynamic conditional correlation approach. International Journal of Islamic and Middle Eastern Finance and Management, 15(6), 1127-1149. https://doi.org/10.1108/IMEFM-07-2020-0370
  79. Tiwari, A.K. and Albulescu, C.T. (2016). Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests. Applied Energy, 179, 272-283. https://doi.org/10.1016/j.apenergy.2016.08.017
  80. Tiwari, A.K., Dar, A.B. and Bhanja, N. (2013a). Oil price and exchange rates: A wavelet based analysis for India. Economic Modelling, 31, 414–422. https://doi.org/10.1016/j.econmod.2013.02.031
  81. Tiwari, A.K., Mutascu, M. I. and Albulescu, C.T. (2013b). The influence of the international the crude oil price on the real effective exchange rate in Romania in a wavelet transform framework. Energy Economics, 40, 714–733. https://doi.org/10.1016/j.eneco.2013.09.015
  82. Tiwari, A.K., Trabelsi, N., Alqahtani, F. and Bachmeier, L. (2019). Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches. Energy Economics, 81, 1011-1028. https://doi.org/10.1016/j.eneco.2019.08.022
  83. Torrence, C. and Compo, G.P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological Society, 79(1), 61-78. https://doi.org/10.1175/1520-0477(1998)079
  84. Torun, E., Akdeniz, A.D.A., Demireli, E. and Grima, S. (2022). Long-term US economic growth and the carbon dioxide emissions nexus: A wavelet-based approach. Sustainability, 14(17), 10566. https://doi.org/10.3390/su141710566
  85. Turhan, I., Hacihasanoglu, E. and Soytas, U. (2013). Oil prices and emerging market exchange rates. Emerging Markets Finance and Trade, 49(sup1), 21-36. https://doi.org/10.2753/REE1540-496X490101
  86. Uddin, G.S., Tiwari, A.K., Arouri, M. and Teulon, F. (2013). On the relationship between oil price and exchange rates: A wavelet analysis. Economic Modelling, 35(C), 502–507. https://doi.org/10.1016/j.econmod.2013.08.002
  87. Wang, X. and Wang, Y. (2019). Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. Energy Economics, 80, 995-1009. https://doi.org/10.1016/j.eneco.2019.04.005
  88. Wu, C.-C., Chung, H. and Chang, Y.-H. (2012). The economic value of co-movement between oil price and exchange rate using copula-based GARCH models. Energy Economics, 34(1), 270–282. https://doi.org/10.1016/j.eneco.2019.04.005
  89. Yang, L., Cai, X. J. and Hamori, S. (2017). Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis. International Review of Economics and Finance, 49, 536-547. https://doi.org/10.1016/j.iref.2017.05.005
  90. Yang, L., Cai, X. J., Zhang, H. and Hamori, S. (2016). Interdependence of foreign exchange markets: A wavelet coherence analysis. Economic Modelling, 55, 6-14. https://doi.org/10.1016/j.econmod.2016.02.017
  91. Yousefi, A. and Wirjanto, T.S. (2004). The empirical role of the exchange rate on the crude-oil price formation. Energy Economics, 26(5), 783-799. https://doi.org/10.1016/j.eneco.2004.06.001
  92. Zhang, H.J., Dufour, J. M. and Galbraith, J.W. (2016). Exchange rates and commodity prices: Measuring causality at multiple horizons. Journal of Empirical Finance, 36, 100-120. https://doi.org/10.1016/j.jempfin.2015.10.005
  93. Altarturi, B.H., Alshammri, A.A., Hussin, T.M.T.T. and Saiti, B. (2016). Oil price and exchange rates: A wavelet analysis for organisation of oil exporting countries members. International Journal of Energy Economics and Policy, 6(3), 421-430.