title: Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach.
abstract: The determinants of exchange rates have attracted considerable attention among researchers over the past several decades. Most studies, however, ignore the possibility that the impact of oil shocks on exchange rates could vary across the exchange rate returns distribution. We employ a quantile regression approach to address this issue. Our results indicate that the effect of oil shocks on exchange rates is heterogeneous across quantiles. A large US depreciation or appreciation tends to heighten the effects of oil shocks on exchange rate returns. Positive oil demand shocks lead to appreciation pressures in oil-exporting countries and this result is robust across lower and upper return distributions. These results offer rich and useful information for investors and decision-makers.
authors: College of Business Administration, Hunan University, Changsha, 410082 People's Republic of China.
authors: Xianfang
authors: X
authors: Su
authors: College of Business Administration, Hunan University, Changsha, 410082 People's Republic of China.
authors: Huiming
authors: H
authors: Zhu
authors: School of Economics and Management, Fuzhou University, Fuzhou, 350116 People's Republic of China.
authors: Wanhai
authors: W
authors: You
authors: College of Business Administration, Hunan University, Changsha, 410082 People's Republic of China.
authors: Yinghua
authors: Y
authors: Ren
keywords: Exchange rates; Heterogeneity effects; Oil shocks; Quantile regression