Huiting Mang

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The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets

Apr 3, 2023 | risk.net | Yanan Liu |Xiaomeng Liu |Ziliang Yu |Huiting Mang

We explore how crude oil futures connected with exchange rates around COVID-19 shock. Both China’s yuan-denominated INE and UK’s dollar-denominated Brent are examined. INE shows different return linkages but similar volatility transmission patterns. Similar spillover patterns can be found when using China’s offshore exchange rates.
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets

Apr 3, 2023 | risk.net | Ziliang Yu |Yanan Liu |Huiting Mang |Xiaomeng Liu

Tweet Facebook LinkedIn Save this article Send to Print this page We explore how crude oil futures connected with exchange rates around COVID-19 shock. Both China’s yuan-denominated INE and UK’s dollar-denominated Brent are examined. INE shows different return linkages but similar volatility transmission patterns. Similar spillover patterns can be found when using China’s offshore exchange rates.

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