This paper reviews alternative econometric approaches the literature has used to examine the connectedness between oil prices and exchange rates and illustrates their application using quarterly data from 1970: Q1 to 2022: Q1 for ASEAN-5 countries, which are as follows: Indonesia, Malaysia, the Philippines, Singapore, and Thailand. Although most studies examining the impact of oil prices and exchange rates apply the Ordinary Least Squares (OLS) approach with symmetry, the quantile regression (QR) method is shown to offer a thorough investigation of the connectedness. For ASEAN-5 countries, we present a comparative analysis of both methodologies (OLS and QR) with and without asymmetry. Our findings suggest that asymmetric effects triggered by oil prices are noticeably heterogeneous across quantiles. Hence, future studies should allow for asymmetry in the oil price by decomposing the price into positive and negative changes to further investigate the connectedness between oil prices and exchange rates.



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Open Access

Keywords and Phrases

asymmetries; exchange rate; oil price; quantile regression

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Document Type

Article - Journal

Document Version

Final Version

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This work is licensed under a Creative Commons Attribution 4.0 License.

Publication Date

01 May 2023

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Economics Commons