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
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author Li, Xin
author_facet Li, Xin
author_sort Li, Xin
collection PubMed
description 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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spelling pubmed-94663062022-09-12 Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices Li, Xin Lett Spat Resour Sci Original Paper 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. Springer Berlin Heidelberg 2022-09-12 2022 /pmc/articles/PMC9466306/ /pubmed/36118955 http://dx.doi.org/10.1007/s12076-022-00318-4 Text en © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2022, Springer Nature or its licensor holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Original Paper
Li, Xin
Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
title Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
title_full Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
title_fullStr Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
title_full_unstemmed Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
title_short Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
title_sort dynamic spillovers between u.s. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
topic Original Paper
url 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
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