Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices

This study aims to investigate the time-varying spillover effects of the U.S. climate policy uncertainty (U.S. CPU) shock on crude oil prices and exchange rates by utilizing the DCC-GARCH connectedness approach. The results show that U.S.CPU is the largest net transmitter, followed by the crude oil...

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Detalles Bibliográficos
Autor principal: Li, Xin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Original Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9466306/
https://www.ncbi.nlm.nih.gov/pubmed/36118955
http://dx.doi.org/10.1007/s12076-022-00318-4
Descripción
Sumario:This study aims to investigate the time-varying spillover effects of the U.S. climate policy uncertainty (U.S. CPU) shock on crude oil prices and exchange rates by utilizing the DCC-GARCH connectedness approach. The results show that U.S.CPU is the largest net transmitter, followed by the crude oil price. Our outcomes also indicate that the Italian currency is the main net recipient and further reveal the pass-through effect of crude oil prices between U.S. CPU and exchange rates.

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