Time-varying causality between oil price and exchange rate in five ASEAN economies

The aim of this study is to investigate the effect oil price changes on exchange rates five ASEAN economies. In study, a rolling and recursive evolving window algorithm applied detect in link between rate from January 1988 June 2022 for countries. We extend existing literature using Time-varying Granger causality model, which captures sensitivities across various time horizons. findings revealed heterogeneous effects at different horizons terms importance magnitude over time. Our empirical results support combined movements prices against some important dates events. provide investors with insight into utility shock transmission mechanism how central banks design market intervention policies.