0517561 20240103223131.920191210235959.9 10.5547/01956574.40.SI2.jbar 18 s. P cav_un_epca*02504280195-657440157-174International Association for Energy Economics Crude oil Forex market Volatility Connectedness Spillovers Semivariance Asymmetric effects Frequency connectedness cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0222679 Kočenda E. CZ http://library.utia.cas.cz/separaty/2019/E/barunik-0517561.pdf https://www.iaee.org/energyjournal/article/3233 cav_un_auth*0384368 GA19-15650S GA ČR CZ We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007–2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness the most and lead to its dramatic increase during periods of distress. JINE AH 50000 50200 50202 2020 2 4 A hod 4ah 20231122144533.2 RVO:67985556 http://hdl.handle.net/11104/0302891 cav_un_auth*0295067 Univerzita Karlova v Praze UK CZ 1 Department of Econometrics UTIA-B 50202 ECONOMICS S 3233 C ECONOMICS|ENVIRONMENTALSTUDIES|ENERGY&FUELS 2.639 0.316 10.6 0.00314 0.845 2879 97 1.480 46.19 2.43 574 Q1 2.000 79 Q1 55.825 56.6 Q2 Q4 0.73 Q2 78.418 2019 Soubory v repozitáři: barunik-0517561.pdf SCOPUS PUBMED WOS cav_un_epca*0250428 Energy Journal 0195-6574 1944-9089 Roč. 40 Special Issue 2 2019 157 174 International Association for Energy Economics