The spillover effect of VIX and oil price on the exchange rate volatility among Belt and Road countries

被引：5
|
作者：
Geng, Xueqing [1 ,2 ]
Guo, Kun [1 ,2 ]
机构：
[1] Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
[2] Chinese Acad Sci, Res Ctr Ficticious Econ & Data Sci, Beijing 100190, Peoples R China
来源：
8TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2020 & 2021): DEVELOPING GLOBAL DIGITAL ECONOMY AFTER COVID-19 | 2022年 / 199卷
基金：
中国国家自然科学基金;
关键词：
Exchange rate; Belt and Road; Oil price; VIX; Vector Autoregress on model;
D O I：
10.1016/j.procs.2022.01.095
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
For the Belt and Road countries, where the geopolitics is complex and the economic development is uneven, the exchange rate volatility is a quite important issue. Each Belt and Road country's exchange rate volatility is not only related to each other countries' exchange rate volatility, but also related to some other exogeneous variables. This paper mainly conduct research on the spillover effect of two exogeneous variables, VIX and oil price, on the exchange rate volatility among Belt and Road countries. The results suggest that VIX's spillover effect on the whole Belt and Road exchange rate volatility network changes differently after the launch of Belt and Road Initiative in the short and long term. Besides, the oil price's spillover effect on the exchange rate volatility alongside Belt and Road region shows different features for the oil export country and the oil import country. (C) 2021 The Authors. Published by Elsevier B.V.
引用
收藏
页码：765 / 772
页数：8
相关论文
共 50 条
  • [21] Volatility spillover between crude oil and exchange rate: A copula-CARR approach
    Pu, Y. J.
    Guo, M. Y.
    2017 INTERNATIONAL CONFERENCE ON NEW ENERGY AND FUTURE ENERGY SYSTEM (NEFES 2017), 2017, 93
  • [22] OIL PRICE CHANGES AND REAL EXCHANGE-RATE MOVEMENTS AMONG INDUSTRIAL-COUNTRIES
    MCGUIRK, AK
    INTERNATIONAL MONETARY FUND STAFF PAPERS, 1983, 30 (04): : 843 - 884
  • [23] The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise
    Akdag, Saffet
    Iskenderoglu, Omer
    Alola, Andrew Adewale
    LETTERS IN SPATIAL AND RESOURCE SCIENCES, 2020, 13 (01) : 49 - 65
  • [24] Examining crude oil price - Exchange rate nexus for India during the period of extreme oil price volatility
    Ghosh, Sajal
    APPLIED ENERGY, 2011, 88 (05) : 1886 - 1889
  • [25] The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise
    Saffet Akdag
    Ömer İskenderoglu
    Andrew Adewale Alola
    Letters in Spatial and Resource Sciences, 2020, 13 : 49 - 65
  • [26] Spillover effect of US dollar exchange rate on oil prices
    Zhang, Yue-Jun
    Fan, Ying
    Tsai, Hsien-Tang
    Wei, Yi-Ming
    JOURNAL OF POLICY MODELING, 2008, 30 (06) : 973 - 991
  • [27] Volatility spillover effects among six Asian countries
    Lee, Sang Jin
    APPLIED ECONOMICS LETTERS, 2009, 16 (05) : 501 - 508
  • [28] Shocks and volatility transmission between oil price and Nigeria’s exchange rate
    Agya Atabani Adi
    Samuel Paabu Adda
    Amadi Kingsley Wobilor
    SN Business & Economics, 2 (6):
  • [29] The predictive content of oil price and volatility: New evidence on exchange rate forecasting
    Breen, John David
    Hu, Liang
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2021, 75
  • [30] Research on the time-varying spillover effect of international crude oil price on China's exchange rate
    Huang, Ying
    Li, Fan
    ENERGY REPORTS, 2022, 8 : 138 - 148
12345