demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial … production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times. -- oil …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Pakistan, Thailand, and the Philippines, whilst they increase the probability of staying in the high volatility state in the …This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …