Extreme comovements and downside/upside risk spillovers between oil prices and exchange rates
Why this work is in the frame
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Bibliographic record
Abstract
Abstract This paper examines the dependence structure and risk spillovers between oil prices and exchange rates in both oil-exporting and oil-importing countries. Using a flexible dependence switching copula model, we analyze both positive and negative dependence and transitions between the dependence regimes. Additionally, we investigate the directional risk spillovers between oil and currency markets in both their downsides and upsides. Based on empirical data from 1999 to 2024 for major oil-exporting and oil-importing countries, we find that oil price-currency dependence is predominantly positive for oil-exporting countries, with infrequent transitions, but mainly negative for oil-importing countries, with frequent transitions between the two dependence regimes. These transitions often occur around crisis or war times. Furthermore, we observe that during downturns in the oil market, tail dependence between oil prices and currencies becomes more pronounced than during upturns. Our results indicate the presence of risk spillovers between oil and currency markets, with the downside spillover effects outweighing the upside ones. Moreover, we find that risk spillover is stronger from oil markets to currency markets than the reverse direction. These insights substantially enrich the existing literature and would offer valuable implications for effective risk management strategies and policymaking.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it