Title: Tail Causality between Crude Oil Price and RMB Exchange Rate
Abstract: China & World EconomyVolume 28, Issue 3 p. 116-134 Original Article Tail Causality between Crude Oil Price and RMB Exchange Rate Haoyuan Ding, Corresponding Author Haoyuan Ding [email protected] Associate Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this authorYuying Jin, Corresponding Author Yuying Jin [email protected] Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this authorCong Qin, Corresponding Author Cong Qin [email protected] Cong Qin, Lecturer, National Academy of Development and Strategy, Renmin University of China, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this authorJiezhou Ying, Corresponding Author Jiezhou Ying [email protected] Jiezhou Ying, PhD Candidate, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this author Haoyuan Ding, Corresponding Author Haoyuan Ding [email protected] Associate Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this authorYuying Jin, Corresponding Author Yuying Jin [email protected] Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this authorCong Qin, Corresponding Author Cong Qin [email protected] Cong Qin, Lecturer, National Academy of Development and Strategy, Renmin University of China, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this authorJiezhou Ying, Corresponding Author Jiezhou Ying [email protected] Jiezhou Ying, PhD Candidate, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, ChinaYuying Jin (corresponding author), Professor, College of Business and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, China. Email: [email protected] for more papers by this author First published: 26 May 2020 https://doi.org/10.1111/cwe.12335Citations: 3 The authors are grateful for financial support from the National Natural Science Foundation of China (No. 71703086), the National Social Science Fund of China (No. 18AZD010) and the Program for Innovative Research Team of Shanghai University of Finance and Economics. Correction added on 26 June 2020, after initial online publication. A duplicate of this article was published under the DOI 10.1111/cwe.12296. This duplicate has now been deleted and its DOI redirected to this version of the article. Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat Abstract In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017. In addition to linear causality tests, we employ quantile causality test to identify prior imperceptible causality in quantiles. We find a causal relationship from crude oil price to exchange rate at each quantile interval, but the reverse only appears in tail. This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other. Moreover, using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate, whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price. These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market. Citing Literature Volume28, Issue3May–June 2020Pages 116-134 RelatedInformation
Publication Year: 2019
Publication Date: 2019-08-18
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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