On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era

This paper is dedicated to studying and modeling the interdependence between oil returns exchange-rate movements of oil-exporting oil-importing countries. Globally, twelve countries/regions are investigated, representing more than 60% 67% all exports imports. The sample period encompasses economic natural events like Great Recession (2007–2009) COVID-19 pandemic. We use dynamic conditional correlation mixed-data sampling (DCC-MIDAS) model, with aim investigating interdependencies expressed by long-run correlation, which a smoother (but always daily observed) version (daily) time-varying correlation. Focusing on advent pandemic in 2020, correlations countries (Saudia Arabia, Russia, Iraq, Canada, United States, Arab Emirates, Nigeria) (lagged) WTI crude strongly increase. For subset these (that is, Saudia Nigeria), turn out be positive, while for Canada Russia they remain negative as before In addition, regions under investigation (Europe, China, India, Japan, South Korea) experience similar pattern: pandemic, were Korea. After latter increased.