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Estimating the effect of international crude oil prices on RMB exchange rate with two-way fluctuation spillover

PloS one, 2023-10, Vol.18 (10), p.e0292615-e0292615 [Peer Reviewed Journal]

COPYRIGHT 2023 Public Library of Science ;2023 Li, Chen. This is an open access article distributed under the terms of the Creative Commons Attribution License: http://creativecommons.org/licenses/by/4.0/ (the “License”), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;2023 Li, Chen 2023 Li, Chen ;2023 Li, Chen. This is an open access article distributed under the terms of the Creative Commons Attribution License: http://creativecommons.org/licenses/by/4.0/ (the “License”), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 1932-6203 ;EISSN: 1932-6203 ;DOI: 10.1371/journal.pone.0292615 ;PMID: 37816039

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  • Title:
    Estimating the effect of international crude oil prices on RMB exchange rate with two-way fluctuation spillover
  • Author: Li, Yuan ; Chen, Jin
  • Huang, Difang
  • Subjects: American dollar ; Crude oil ; Crude oil prices ; Economic conditions ; Engineering and Technology ; Eurozone ; Evaluation ; Foreign exchange rates ; Interest rates ; International finance ; International trade ; Macroeconomics ; Management ; Oil ; People and Places ; Petroleum ; Petroleum in submerged lands ; Phillips curve ; Physical Sciences ; Prices and rates ; Securities markets ; Social Sciences ; Stochastic models ; Stock exchanges
  • Is Part Of: PloS one, 2023-10, Vol.18 (10), p.e0292615-e0292615
  • Description: International crude oil prices has become one of the important factors that affect exchange rate fluctuation. By combining TVP-VAR model and DY time-varying spillover index, this paper measures the two-way fluctuation spillover effect between international crude oil prices and RMB exchange rate from 2011 to 2022. The research results show that: (1) There are obvious time-varying characteristics among international crude oil prices, onshore RMB exchange rate and offshore RMB exchange rate, and they are strengthened when major events occur at home and abroad; (2) The spillover and absorption level among international crude oil prices, onshore RMB exchange rate and offshore RMB exchange rate is relatively limited; (3) After the "exchange rate reform on August 11", the market participation of RMB exchange rate has increased year by year, and the offshore RMB is mainly net spillover, while the onshore RMB is mainly reflected as a recipient; (4) The offshore RMB exchange rate has a driving effect on the onshore RMB exchange rate. Based on this, it is necessary to orderly promote the development and utilization of new energy, actively promote the market-oriented reform of RMB exchange rate, play the leading role of offshore market, and accelerate the construction of crude oil-RMB settlement system.
  • Publisher: San Francisco: Public Library of Science
  • Language: English
  • Identifier: ISSN: 1932-6203
    EISSN: 1932-6203
    DOI: 10.1371/journal.pone.0292615
    PMID: 37816039
  • Source: Geneva Foundation Free Medical Journals at publisher websites
    PLoS
    PubMed Central
    Coronavirus Research Database
    ProQuest Central
    DOAJ Directory of Open Access Journals
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