Data for: Do exchange rates respond asymmetrically to shocks in the crude oil market?

Abstract of associated article: The paper argues that exchange rates respond asymmetrically to different shocks to the crude oil market. We apply Kilian's (2009) methodology to disentangle shocks to the crude oil market into distinct demand and supply shocks, and examine the response of the U.S. real and nominal trade-weighted U.S. dollar exchange rate indexes, as well as six other bilateral exchange rates to these shocks. Our analysis indicates that oil supply shocks have no significant effects on exchange rates, while global aggregate demand and oil-specific demand shocks lead to depreciations. We further show that exchange rates respond asymmetrically to shocks in the crude market depending on whether the shocks are large versus small, or positive versus negative.

相关论文摘要：该论文提出，汇率对原油市场的各类冲击存在非对称响应。本文采用基利安（Kilian, 2009）的研究方法，将原油市场冲击拆解为供给冲击与需求冲击两类，并考察了美国实际贸易加权美元汇率指数、名义贸易加权美元汇率指数，以及另外六种双边汇率对上述冲击的响应。分析结果表明，石油供给冲击对汇率无显著影响，而全球总需求冲击与原油特定需求冲击会引发汇率贬值。本研究进一步证实，汇率对原油市场冲击的响应具有非对称性，该非对称性取决于冲击的规模（大型与小型）以及方向（正向与负向）。