Ziliang Yu

May 22, 2024 | onlinelibrary.wiley.com | Jian Yang |Zheng Li |Ziliang Yu

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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.

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.