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- W4297282387 abstract "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-à-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. • With hourly data, both oil price and volatility spillovers explain exchange rates in the COVID-19 period. • Oil prices explain exchange rates and exchange rates explain oil prices. • The effects are stronger over the COVID-19 period." @default.
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- W4297282387 date "2022-10-01" @default.
- W4297282387 modified "2023-09-27" @default.
- W4297282387 title "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic" @default.
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- W4297282387 doi "https://doi.org/10.1016/j.pacfin.2022.101857" @default.
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