Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries

摘要

Many studies have investigated the mean and volatility spillovers between oil prices and exchange rates. However, the risk spillover has been paid little attention in the literature, although it is of great importance for oil-related risk management. By adopting the crude oil prices and the exchange rates in seven major oil-exporting and oil-importing countries from 2000 to 2018, we find that there exist upside and downside risk spillover effects. The risk spillovers are stronger from exchange rates to crude oil than those from oil to exchange rate markets. Moreover, the risk spillovers are much stronger for the oil-exporters than the oil-importers. We also provide evidence that the extreme risk dependence between the two markets turns to be stronger after the 2008-09 financial crisis period.