Energy price shocks, exchange rates and inflation nexus

Ahmed, 2020, Linkages among energy price, exchange rates and stock markets: evidence from emerging African economies, Appl. Econ., 52, 1921, 10.1080/00036846.2020.1726861 Badel, 2015 Balcilar, 2021, Exchange rate and oil price pass-through in the BRICS countries: evidence from the spillover index and rolling-sample analysis, Energy, 229, 10.1016/j.energy.2021.120666 Beckmann, 2020, The relationship between oil prices and exchange rates: revisiting theory and evidence, Energy Econ., 88, 10.1016/j.eneco.2020.104772 Beckmann, 2022, What drives updates of inflation expectations? A Bayesian VAR analysis for the G-7 countries, World Econ., 45, 2748, 10.1111/twec.13241 Bigerna, 2021, Oil import portfolio risk and spillover volatility, Res. Policy, 70 Black, 1991, Exchange rates, energy prices, unemployment, money, and inflation, East. Econ. J., 17, 189 Caporin, 2021, Asymmetric and time-frequency spillovers among commodities using high-frequency data, Res. Policy, 70 Choudri, 2001 Choudri, 2006, Exchange rate pass-through to domestic prices: does the inflationary environment matter?, J. Int. Money Financ., 25, 614, 10.1016/j.jimonfin.2005.11.009 Conflitti, 2018, 423 Darvas Dickey, 1979, Distribution of the estimators for autoregressive time series with a unit root, J. Am. Stat. Assoc., 74, 427 Diebold, 2012, Better to give than to receive: predictive directional measurement of volatility spillovers, Int. J. Forecast., 28, 57, 10.1016/j.ijforecast.2011.02.006 Diebold, 2014, On the network topology of variance decompositions: measuring the connectedness of financial firms, J. Econ., 182, 119, 10.1016/j.jeconom.2014.04.012 Ding, 2023, The oil price-inflation nexus: the exchange rate pass-through effect, Energy Econ., 125, 10.1016/j.eneco.2023.106828 Donayre, 2016, The asymmetric effects of oil price shocks on the Canadian economy, Int. J. Energy Econ. Policy, 6, 167 Dungey, 2005, Empirical modeling of contagion: a review of methodologies, Quantit. Finance, 5, 9, 10.1080/14697680500142045 Edwards, 2000, Contagion, World Econ., 23, 873, 10.1111/1467-9701.00307 Engle, 1987, Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251, 10.2307/1913236 FED Garzon, 2021, Asymmetries in the transmission of oil price shocks to inflation in the eurozone, Econ. Model., 105, 10.1016/j.econmod.2021.105665 Garzon, 2022, Inflation, oil prices and exchange rates. The Euro’s dampening effect, J. Policy Model, 44, 130, 10.1016/j.jpolmod.2021.12.001 Goldberg, 1997, Goods prices and exchange rates: what have we learned?, J. Econ. Lit., 35, 1243 Golis, 2022, Dynamic spillovers and linkages between gold, crude oil, S&P 500 and other economic and financial variables. Evidence from the USA, North Am. J. Econ. Finance, 63 Hameed, 2021, Volatility spillover effect between oil prices and foreign exchange markets, Energ. Strat. Rev., 38, 10.1016/j.esr.2021.100712 Hashmi, 2021, Asymmetric effect of oil prices on stock market prices: new evidence from oil-exporting and oil-importing countries, Res. Policy, 70 International Monetary Fund (IMF) 2022. International Monetary Fund, IMF access to Macroeconomic and financial data. Available at: https://data.imf.org/regular.aspx?key=61545849 (last accessed: 10 December 2022). Jia, 2021, The effects and reacts of COVID-19 pandemic and international oil price on energy, economy, and environment in China, Appl. Energy, 302, 10.1016/j.apenergy.2021.117612 Küçükefe, 2020, Estimation of relationship between inflation foreign exchange rates and oil prices in Tukey, 135 Kumeka, 2022, The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies, Res. Policy, 77 Levich, 1985, Empirical studies of exchange rates: Price behavior, rate determination and market efficiency, vol. 2, 979, 10.1016/S1573-4404(85)02010-X Li, 2022, The asymmetric impacts of oil price and shocks on inflation in BRICS: a multiple threshold nonlinear ARDL model, Appl. Econ., 54, 1377, 10.1080/00036846.2021.1976386 Lin, 2020, Does oil price have similar effects on the exchange rates of BRICS?, Int. Rev. Financ. Anal., 69, 10.1016/j.irfa.2020.101461 Lütkepohl, 2005 Malik, 2019, Dynamic connectedness of oil price shocks and exchange rates, Energy Econ., 84, 10.1016/j.eneco.2019.104501 Nasir, 2021, US trade deficit, a reality check: new evidence incorporating asymmetric and non-linear effects of exchange rate dynamics, World Econ., 44, 818, 10.1111/twec.12986 Nasir, 2020, A quarter century of inflation targeting and structural change in exchange rate pass-through: evidence from the first three movers, Struct. Chang. Econ. Dyn., 54, 42, 10.1016/j.strueco.2020.03.010 Nasir, 2018, Implications of oil prices shocks for the major emerging economies: a comparative analysis of BRICS, Energy Econ., 76, 76, 10.1016/j.eneco.2018.09.023 Oloko, 2021, Oil price shocks and inflation rate persistence: a fractional Cointegration VAR approach, Econ. Anal. Policy, 70, 259, 10.1016/j.eap.2021.02.014 Pericoli, 2003, A primer on financial contagion, J. Econ. Surv., 17, 571, 10.1111/1467-6419.00205 Pesaran, 2007, Econometric issues in the analysis of contagion, J. Econ. Dyn. Control., 31, 1245, 10.1016/j.jedc.2006.03.008 Philips, 2022, Do exchange rate and inflation rate matter in the cyclicality of oil price and stock returns?, Res. Policy, 78 Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335 Stein, 1982 Sun, 2022, Crude oil price and exchange rate: evidence from the period before and after the launch of China’s crude oil futures, Energy Econ., 105, 10.1016/j.eneco.2021.105707 Syzdykova, 2022, Asymmetric causality relationship between oil prices and inflation in BRIC countries, Int. J. Energy Econ. Policy, 12, 184, 10.32479/ijeep.12814 United Nations (UN) United Nations (UN) Volkov, 2016, Oil price shocks and exchange rate movements, Glob. Financ. J., 31, 18, 10.1016/j.gfj.2016.11.001 World Bank (WB) Zhao, 2016, The effects of oil price shocks on output and inflation in China, Energy Econ., 53, 101, 10.1016/j.eneco.2014.11.017